Wellllllll it depends on what you want to do. For example, I have some devices from Shelly (a company I'm currently pissed off at) that allow me to make a lot of devices smart. For example, I'm using one as a thermostat for our pellet stove, controlled by HA, with a fairly complex script setting the pellet stove temperature based on the time of day, outside temperature, and other factors. The Shelly switches come with software that's pretty good, but you can install Tasmota (I think) on them, which is open source software (I still use the original Shelly software). Those are wifi devices.

Similarly, I have some power-monitoring plugs (the washer is plugged into one to monitor power usage, to alert me when the cycle is done), and those are made by a company called Sonoff, but they're (relatively) easy to flash to Tasmota, I've gotten to the point where I can do one in a few minutes, without soldering. I have another one from Sonoff for a ceiling fan that I flashed Tasmota on, and it also works well with one limitation (in the hardware, not software): The light is only on or off, no dimming. These are also wifi devices.

Things like Zigbee and Z-wave are supported, so they do not have direct internet access, so it's not the same sort of concerns as with Wifi.

Proprietary stuff is supported as well, mainly because there's so much of it - the big name is Tuya, a Chinese company that makes a ton of cheap Wifi devices (also Zigbee, but those are less of an issue). Some of them can be flashed to install something more open like ESPHome, some cannot, it depends on the device. The default for them is cloud control, but there are various options for controlling them locally.

My light switches and most of my temperature sensors are Zigbee. As mentioned I have some Wifi devices for various things.

Things like thermostats: You're basically stuck with proprietary because there aren't many open source options. I mentioned the pellet stove, which I use the Shelly to control, paired with a Zigbee temperature and humidity sensor (Aqara brand), and it works well, but I'm not sure I'd be comfortable turning over my house's main HVAC to HA - it's more complex, and if HA goes down my house is going to get hot or cold. I use an ecobee, but other brands are supported as well.