Depending on the security level required by the application you are accessing, single factor (e-mail + password) or multi factor (username + password + challenge) authentication will have to be provided. It is therefore recommended to set up the 2-factor authentication as soon as you have created your EU Login account. If multi factor authentication is required, beside the password you will need to use an additional verification method from the available options.
The addition of another factor will also facilitate keeping and regaining access. In addition, if you would lose an authentication factor (your mobile phone for example) you will still be able to authenticate with another one. If possible, register a mobile phone number, the EU Login Mobile app, and a third one such as a security key (e.g., a YubiKey, Google's Titan Key …) or trusted platform (e.g., Windows Hello).
It is important to note that managing (adding, modifying or removing) authentication factor will require you to authenticate one of the already configured methods if you have any.
Have a look at this video to see which authentication methods you can add to your account and how to use them. You can also refer to the user guide instead.