Kali Linux (formerly known as BackTrack Linux) is an open-source, Debian-based Linux distribution aimed at advanced Penetration Testing and Security Auditing. Kali Linux contains several hundred tools targeted towards various information security tasks, such as Penetration Testing, Security Research, Computer Forensics and Reverse Engineering.
Although maintenance of VirtualBox leaves a lot to wish for, it is easy to install and can run on any system, and is therefor recommended as the best security lab solution for beginners.
KVM is good for Linux. It is what I am using.
For Windows, VMware is a good solution. Virtual PC is also good, but you cannot run Linux distributions inside it.
For macOS, both VMware and Virtual PC are good options, including QEMU and Parallels.
Download the required hypervisor packages (including their dependencies) and then install them according to the nature of your OS.
As an example, installing VirtualBox on Ubuntu. You can install VirtualBox from the software center directly without opening up the terminal or issuing any command.
From the command-line:
sudo apt install virtualbox virtualbox-ext-pack
It will not be the latest version. If you want to use the latest version of VirtualBox on Ubuntu, the easiest way would be to download and use the deb file from Oracle’s website. Double click on it to install it.
Installing Kali box
Use the Official Kali VM’s. The docs are pretty clear.
You can also use dockers: