The most convenient are the mobile wallets, because you can use them everywhere easily. Of course they are not the most secure and risk free, too.
You should do your own research and decide what is best for you
Exactly different wallets have different features and you should choose according to your convenience I am using multibit at a moment but when I need to convert it to fiat I transfer it to localbitcoins.
when i was planning on choosing a wallet for myself i tested Multibit but i didn't feel comfortable with it and especially when i read that i have to pay a fee to developers in order to use it i disliked it even more.
now i use Electrum and i am happy with it because i can easily work with in offline then sign and transfer it online.