What is the most private (secure) wallet?

In terms of the privacy on-chain, all wallets are equally private. Where privacy concerns get introduced are where the Bitcoin was obtained and did it require identity verification (aka, Know Your Customer or KYC). Also, your computing environment can leak identifying information when transactions are made, such as your IP address. There are many nuances in Bitcoin privacy such as on chain analysis and clustering algorithms and mixing. If privacy is a priority, you must undertake much research and learning to get a system set up for the highest levels of privacy. As a good rule, wallets that are not consistently online (i.e., cold wallets) have better privacy but these other factors weigh in more heavily.