You don’t have to keep a VPN on all the time, but a lot of people do because it’s just easier and adds a bit more privacy. It really depends on what you’re doing — if you’re on public Wi-Fi or handling anything personal, it’s usually better to have it on.
About which VPN is the best, there’s no single answer. Different ones work better for different people. It’s a good idea to look at things like speed, how easy it is to use, and whether it fits what you need it for.
I’d avoid completely free VPNs, though — they can be slow or not very reliable.