Total newbie here, trying to pick my first Bitcoin wallet. Help?

Okay, diving into crypto and immediately stuck on step one: the wallet. I see people talking about "seed phrases" and "private keys," and then I see easy sign-up wallets on exchanges. What's the real difference? Is the easier option (just using an exchange wallet) safe enough for someone starting with a small amount, or is that a major no-no? I'm confused about where to even store my Bitcoin.