Mobile wallets offer the advantage of portability, enabling you to make transactions from anywhere. Desktop wallets often have built in useful tools such as portfolio charts. Web wallets allow you the convenience of interacting with your Ethereum account via a web browser.
While web wallets are considered the least secure, all hot wallets are at risk of online attacks. For this reason, users typically will not keep a large amount of their funds or other valuable digital assets in a hot wallet.
A cold wallet is more secure as it is not connected to the internet. A hardware wallet is an example of a cold wallet. Although it needs to be connected to your computer when you use it to sign for transactions, your private keys do not leave the device. This protects your assets from the threat of potential malware that can be on mobile, desktop, or web browsers that may try to steal your private keys or recovery seed phrases.