Most people usually talk about their ADA is stored in a wallet. While this is technically true, the wallet itself is only a window into the blockchain where your funds are securely stored and only accessible to you.
When you set up a wallet for the first time, the app shows you a list of words (up to 24 words), which you can use to restore your wallet on another device.
It’s vitally important that this list of words is stored in a secure place because whoever has access to the list can gain access to your ADA.
Please make sure that you download only official versions of any wallet you choose.
Currently Cardano recommends Daedalus (Windows, Mac, Linux) and Yoroi (iOS and Android).