Most popular cryptocurrency wallets use the BIP39 standard: the use of mnemonics to serve as your back up recovery seed in the event your wallet becomes compromised. This is also known as a mnemonic seed phrase, recovery seed, wallet back up, etc.
You purchased some bitcoin on an exchange. You want to take the next step and take control of your keys by withdrawing your bitcoin on a wallet you own. Here's the absolute minimum you should do to get started.
Your bitcoin seed (also known as recovery phrase, seed phrase, recovery seed, mnemonic seed, wallet backup, etc.) is an ordered set of 12-24 words that is randomly generated by your wallet. It stores the information that can be used to recover your wallet and bitcoin when your wallet fails unexpectedly (such as damage, unable to access, misplaced, theft, etc). Ensure it is hidden in a secure location and stored/written on something that will last your lifetime.
Sometimes your wallet recovery seed phrase is not enough. Wallet recovery can be a complicated endeavor. All wallets do not follow the same rules. The reason for this is that wallet developers don't implement the same standards, have their own specific standards, or implement standards differently when designing their wallets. It's best to make a note of some specific characteristics of your wallet for the best chance to recover your wallet in the future.