I wanted identity to be done well. So I knew I needed an identity provider. In order to make that decision there were the obvious cloud provider offerings and independent offerings.
I've used Auth0 about five different times now and I'm really comfortable with it. I've heard grumbles about Cognito being limited in functionality. Also having been around Azure Active Directory I can tell you its complexity is a significant barrier to entry. Certainly if you're using anything that isn't the dotnet framework.
Auth0 uses JWT and OAuth2 under the hood, so if you need to you can rely on tools for those technologies to integrate. Which is great. The docs are generally thorough and there are examples you can use to get going. Finally, the experience I have means it is quick for me to get going and make the right configuration choices.