A hot wallet is connected to the internet and convenient for everyday use; a cold wallet stores your keys offline and is built for security. Most people benefit from using both, in different roles, rather than picking just one, part of the broader picture in \[pillar hyperlink: What Is a Crypto Wallet\].
Definitions
A hot wallet is software running on a phone, browser, or computer, always connected to the internet. A cold wallet, typically a hardware device, keeps your private keys generated and stored offline, only connecting briefly to sign a transaction.
Trade-offs
Hot wallets are free, fast, and convenient, but their internet connection makes them more exposed to malware and phishing. Cold wallets cost money upfront and are less convenient for frequent use, but they dramatically reduce remote-attack risk.
Use cases
A hot wallet suits small, everyday amounts and frequent transactions. A cold wallet suits savings you don't plan to touch often, the crypto equivalent of a safe versus a wallet in your pocket.
Recommendations
A common approach is keeping a small working balance in a hot wallet and the bulk of larger holdings in cold storage. See Custodial vs Non-Custodial Wallets for the related question of who actually holds your keys.