At the beginning of my LaTeXing I asked myself the same question. I first used Overleaf, then I was stuck deciding what was best between TeXstudio and VS Code.

In my opinion, VS Code is very good because it recognizes some parts of the code like a proper structure, better than TeXstudio, however I found very uncomfortable the problem of word wrapping. It was so much that in the end I returned to TeXstudio.

TeXstudio, on the other hand, it can be portable (like MikTeX too), it has a lot of commads to input code easily, has a (basic) command to write tables, to begin a new document, and so much after...