There are many different wallets that you can use with Coinbase. It really depends on what type of wallet you are looking for and what type of device you are using. For example, if you are looking for a wallet that is specifically for Bitcoin, then you will want to use a Bitcoin wallet like Blockchain.
info or Breadwallet. However, if you are looking for a more general wallet that can be used for multiple currencies, then Coinbase Wallet or Jaxx Wallet would be a better choice.
Ultimately, it really comes down to personal preference as to what wallet you want to use with Coinbase. As long as the wallet is compatible with the currency you are using on Coinbase, then any of the above-mentioned wallets would work fine.