If you already have an authenticator app, by all means, use the one you already have*. If you don’t yet have an authenticator app, our primary recommendation is to use Google Authenticator. Google Authenticator is a best-in-class provider of two-factor identification. It is easy to use and quite versatile. If you are uncomfortable using Google products, our second recommendation is to use "Authy".
We recommend with any authentication app that you do not use the cloud sync backup feature to your email. This creates an attack vector if your email address is compromised, the attackers could get your 2FA codes.
*We are not able to use the 2FA app Duo. It is not calibrated correctly with our 2FA.