Usually, the bottom line here is...whatever is comfortable and easily accessible.
Holster Types
Belt - Worn outside the pants/shorts. Works great with a loose fitting shirt to cover the firearm. For example, I can wear a large shirt, but since I started carrying, I now wear a 2x, to ensure the gun is concealed.
Inside the Waistband - A holster that attaches to your belt loops, but fits inside your pants/shorts. Can also be worn in the middle of the back. This conceals the bottom portion of the holster. However, with a gun, you will typically fasten your belt a notch tighter to hold up the extra weight of the gun, so the gun will dig into your side, and after a few hours will be uncomfortable. Best for short trips. Usually a loose fitting shirt is worn over the gun to conceal it.
Fanny Pack - Great for women, not so much for men. Men with fanny packs is usually not considered cool, and if you have one, a bad guy could correctly assume that you have a gun in it. (Sorry guys, just repeating what we learned in CCW class from a law enforcement official.)
Purse - Works great, but be sure you have control of it. A purse thief could snatch your purse, and then he would have your gun too! I generally do not recommend purse holsters.
Ankle - good for smaller guns, but not as accessible. If you are confronted as you walk, it will take you longer to access your firearm. Works better from a seated position.
Waist (Belly Band) - Worn around the waist, this is usually an elastic band. Can usually be worn higher up on the body, at chest level, if desired.
Coat - You can buy coats and vests with built in holster pockets at chest level. Works great in wintertime.
Shirt - A tight fitting shirt with a built-in elastic holster, usually located at chest level under the arm.
Shoulder Harness - Like you see on police shows. Works if you wear a suit coat, or jacket in wintertime. However, if its hot and you want to take your coat off...too bad.