I have recently started participating in Airdrops and was wondering which is the best Ethereum wallet to use as some airdrops asking for certain wallets that collect tokens
In my opinion
https://www.myetherwallet.com/ is best wallet for ether and erc20 tokens.
For airdrops you need erc20 compliant wallet and that is MEW, don't use address from exchanges because you won't receive erc20 tokens there.