So, did you mean which is better if you are going to buy or sell (trade) crypto? In wallet or exchanges?
Well, if this is specifically for trading (buying and selling), the exchange is the best way in my opinion. Because we can choose many coins available on the exchanges. but of course, this must be a reputable exchange or top exchange.
You can check them here for reputable exchanges with the strength and weaknesses of each exchange:
https://coinmarketcap.com/rankings/exchanges/

And about costs, every exchange may have different costs for each different coin or token.
You can check the costs on every site or platform of the exchange itself.

However, if you prefer after buying coins and going to hold them, it is better to use a wallet (especially a hardware wallet).