Most reputable wallets nowadays create a seed, meaning, a word list you can memorize (brainwallet). My approach would be to install Electrum on an offline PC, create the seed and when I'm sure I won't forget it, I'd wipe the device clean.

I would consider this approach risky, even if I was willing to commit to refreshing my memory of the seed.

I would still buy a hardware wallet such as a Trezor. I would memorise its seed and the keys would still be accessible through the device, just in case.

Hardware wallet security:

• Typically, hardware wallets have a pin.
• Some, also have an extra password with magical powers: It acts as an extra seed word, so you can actually have many accounts. There is no wrong password. Depending on the password you type, it (re)creates the account. If someone ever forces you to unlock it, you can tell them the pin and that other password you have with 0.1 BTC in it. Such wallet is the Trezor but I read recently that Nano ledger will have a similar feature soon.