Ways to stake
You can run your own validator, delegate coins to one, stake through an exchange, or use liquid staking, which gives you a token you can still trade or use in DeFi. Each option trades convenience against control and fees.
Risks
Rewards are paid in a volatile coin, so a price drop can wipe out the yield. Staked coins can be locked for days or weeks, validators can be slashed, and coins staked through an exchange depend on that exchange staying solvent. Staking rewards are taxable income in many countries.