pitfalls or things I should take into consideration before I purchase a domain?

Make sure your chosen email provider supports DMARC. Since I'm sure someone is wondering, yes, Proton mail does.

Are my emails more likely to be sent to spam with a custom domain vs an email provider's?

Absolutely, but only if you choose not to setup DMARC and DKIM

Every mail provider, that I have encountered, that supports custom domain names, provides a detailed step by step guide for which DNS records to add. Follow the guide, don't skip any steps, and make sure to finish.

Register a domain with one provider, like Namecheap or Porkbun, set the nameservers to Custom and use another provider like Cloudflare to manage the DNS. That way if the registrar goes belly up, you don't lose DNS and can move registrars (nameservers should stay authoritative and cached for long enough to move providers). DNS control is usually enough to convince a new registrar that you control the domain.

If the DNS provider goes belly up, you can change the DNS provider at the registrar. If you keep DNS with your registrar, you risk not being able to do anything if they go down or out of business.

The domain doesnt really matter. The mail servers reputation is what really matters. If you aren't going to run your own mail server then you have nothing to be concerned about.

I did this years ago. I had read a bunch of scare stories about Google cutting people off from their Gmail accounts and having no path to appeal.

I setup a domain name that is just my full name .com and used a mail service like proton or titan mail. I setup a few accounts (shopping@, work@, games@, myname@, me@) and gave them aliases, for example Shopping has paypal@ and Amazon@.

It is extremely unlikely anyone will want my domain name, so if my mail provider closes down or kicks me out I can just find another and repoint my DNS records to the new one.

I recently had issues with my DNS registrar primary servers going down, and titan mail was costing more than I liked when the renewal came up, so I've now moved to porkbun and mxroute and I'm very happy.

I have started using PurelyMail, and own my domain through cloudflare. If I ever have problems with PurelyMail I would just need to adjust some settings in cloudflare to move to a different provider.

I've been using Zoho mail with a namecheap domain and had no significant issues, besides being marked as spam maybe once or twice?

Migadu is relatively private, dirt cheap, and dead easy to set up. Supports both web and desktop email clients of choice.

IMHO, TLD matters and always will - the problem is that it matters to varying degrees depending on the destination host, the remainder of your setup, etc. If you're fastidious about configuring all of the requisite DNS records, etc., it will be less of a problem.

I mostly avoid the newer non-CC TLDs for that reason, and general personal preference. Deliverability is enough of a challenge without adding more work to it, which is why 'actually' hosting one's own email is mostly a toy project, and not something generally done as a serious endeavor. Useful for learning and understanding, of course, but not particularly practical to literally host one's own email server for ongoing usage in any critical use case.

You'll find certain providers easier to get your emails through to than others - Hotmail and variants are notoriously difficult, and tend to drop inbound mail at the gate without sending a bounce message, as if the inbound mail just disappeared.