The first thing you should consider is the crypto laws in your country. Some countries like mine have banned many crypto exchanges because of some reasons. So you have to check if your country allows exchanges to operate freely. Another point is to consider which exchange offers services in your jurisdiction this is because some exchanges don't operate in some countries. We have to also consider which type of exchange you are referring to since there are decentralized and centralized types.

Decentralized exchanges are more reliable than centralized ones since they are not under the control of the user. They also promote privacy and security. You might not lose your funds easily since they don't keep people's funds. Centralized exchanges are more convenient to use but they are not safe. In case of hacks or fraud on the centralized exchange customers might lose their money.

The choice of exchange will depend on the use and the funds involved. People who engage in trading might prefer to use centralized exchanges because of their liquidity. You might also decide to use a centralized exchange if it involves little money.

You have to do your research to determine the one that suits you and to learn how it works.