Shooting while tethered is probably the best way for many photographers. It's obviously not ideal for certain kinds of photography, like events and weddings; however, for those that shoot on a tripod, being tethered to a larger screen can make all the difference.
When you're tethered to a larger screen, you can review your images far more effectively than you can on the back screen. Most cameras tend to have a relatively low-resolution screen on the back, which is ok for changing settings, but if you're reviewing critical images, then it's not great. Checking focus can be a bit tricky, even when you're zoomed all the way into the image. More important than that is reviewing your composition. For example, if you're shooting interiors, it's quite easy to miss odd little details and angles that could be affecting the composition negatively. On a larger screen, it's far easier to pick out issues.
In the latest video from The Art Of Photography, Ted Forbes discusses one of the cool things you can do with the Sony a9 II. Forbes demonstrates how you can tether directly to your computer and even have the images automatically import into Lightroom or Capture One. This is done without the use of any external devices. Forbes discusses why he thinks this feature should be included in all cameras, and I have to agree with him.
Of course, if you're shooting in a studio, then you could use a cable to connect directly to your computer, but personally, I'd prefer not to have any tripping hazards.
Check out the full video to see how you can do this too.