I think it most depends on what you're comfortable with.

If you want a lot of fancy features and dont mind corporate cloud control, there's Nest and similar.

If you definitely want it to function off-cloud and offline, the Honeywell Zigbee ones work great. I hear good things about the Aqara ones. I think Govee is offline. There's lots.

After looking around a little I couldn't find any zigbee thermostat which met all my needs (mostly, I couldn't find any which switches high voltage and has a wireless sensor that can stay in a different room).

so I went for the fully custom setup: a normal zigbee switch connected to home assistant and controlled by their software implementation of a thermostat. The temperature sensor is a template sensor which takes the temperature of the living room during daytime and the bedroom during nighttime. I have automation to change the target temperature during day, night and when the house is empty.

pro: fully customizable by software, dead cheap con: the heating needs your server to work correctly

Some failure modes I found and their workaround:

• The temperature sensor goes offline. I have automation to turn off the heating and send a notification
• the server goes offline: I left the old dumb thermostat wired in parallel, it can guarantee the home will not go too cold.

the only failure mode I'm still concerned is if the server goes offline while heating is on. In this case there is nothing to turn it off again. I was looking for zigbee switches with a timer to switch off automatically but I couldn't find any. So if I'm out of home for more than one day I disable it and revert to the dumb thermostat.

my suggestion here is: whatever solution you choose, be sure to have a plan b in case whatever smartness you have stops working (cloud service or local home assistant offline)

We need more information to recommend anything. Do you need high voltage switching? Do you have zigbee, zwave, or only wifi available? How much integration or local on device control do you actually want or need?

I have an ecobee thermostat that I manage locally over WiFi using the HomeKit integration, but I'd stop short of recommending it to new users.

1. Ecobee used to support developer access to their cloud API for controlling the thermostat and collecting efficiency data, but stopped issuing new API access tokens in the last couple of years. They have no plans currently to reopen developer access. If you have a token then the ecobee integration works fine, but if you don't you're stuck with HomeKit.
2. The thermostat requires 24V from the furnace to run the display and wifi stack. They provide an adapter you can install if you have available free leads at bother ends of the thermostat control cable. I had to splice a new wire onto the 24V transformer in my furnace since it didn't have a 24V common terminal on the control block. It wasn't hard to do in the end, but it was a lot of research.
3. Some advanced thermostat features require the app. I am not sure whether the app uses cloud or local control when on the same WiFi.
4. Not all features are available through the HomeKit integration. I can change the thermostat mode among Auto/Heat/Cool/Off, manage the blower fan mode and manage the heat/cool set points.
5. Data logging. The damned thing does log activity back home, and the data is only available in the app or on thr web portal.

Other than that, ~~Mrs Lincoln, how was the show?~~ I haven't been unhappy with the ecobee. The HomeKit integration works fine, and I get enough data from the native HA history to track and manage my energy demand. I shied away from Honeywell because my last Honeywell thermostat-- the one I used just before the thermostat I replaced with the ecobee-- tended to cycle my furnace too fast during cold snaps, and it would put the system into thermal protect mode. There was no way to widen the hysteresis (or modify the duty cycle) except by manually setting the temp high, run the house up to that temp, and then lower the setpoint and let the house take longer to cool.

ETA: the ecobee a decent thermostat and I'm happy enough with it overall. It has "spousal approval" accreditation as well. I wish it checked more boxes for me*, but it was essentially free through a power utility program. Its a worthy upgrade for me, but YMMV.

* namely, Z* protocol local control and continued cloud API access

I got a cheap Nest E thermostat on eBay from a charity shop seller. It cost me like £15.

Replaced my dumb one with it, then hooked it into HA and made a sensor from all my motion sensors and door sensors which all have temperature gauges in them.

Conglomerated those sensors into one that tracks the average (making sure to only have so many per floor so as not to skew the data to one part of the house) then made a sensor called "Is it cold enough to have the Heating on?" which acts as a simple switch with a lower and upper limit.

Now my heating only comes on when I need it to based off the temperature of the whole house instead of that one place the dumb thermostat was based.

The display unit for it died after less than a year, replaced that for another £20 on eBay and synced the new unit to the Thermostat on the wall.

So for less than £50 and some smarts I've upgraded my heating, and saved money on the bills (since it only comes on when we need it to rather than based on the temperature of one location).

I'm not particularly recommending Nest since I have no experience with other manufacturers, but I managed to do it all on the cheap and I'm quite pleased with the results

I thought mine was dumb but apparently it had Z Wave! Was able to hook it up to HA easy. Double check it's "dumbness" first!

I love having automations that keep my office from becoming an oven after noon

I have the GoControl zwave thermostat. It's very barbones and has no real smarts on it's own but can be fully controlled by zwave. This is what I was looking for as I wanted full control over the algorithm, but if you want to it have more intelligence without having to write the code yourself you should consider other options.