A centralized exchange (CEX) holds your funds and matches trades on its own servers. A decentralized exchange (DEX) lets you trade directly from your wallet.
On a CEX you trust the platform with your crypto. On a DEX you keep control of your keys at all times.
CEXs are generally easier for beginners, with fiat on-ramps, customer support and simpler interfaces. DEXs require some technical comfort.
CEXs often have deep liquidity and low trading fees. DEXs charge network and pool fees, which vary with congestion.
CEXs are targets for hacks but offer some recourse. DEXs remove the custodian risk but shift responsibility to you and to smart-contract risk.
CEXs are best for convenience and fiat, DEXs for self-custody and permissionless trading. Many people use both.