This is a frequent question.
The answer largely depends on personal preference in the end, though for me, Pi-hole provides adequate protection with the default lists.
Feel free to tweak and tune lists to meet your personal needs.
For more detailed information, let me refer you to some previous posts on why combining Pi-hole and browser extensions may make sense, or on special focus blocklists like Blocking Microsofts Telemtry, including some reliable blocklist sources.