Random walks have been intensively studied on regular and complex networks, which are used to represent pairwise interactions. Nonetheless, recent works have demonstrated that many real-world processes are better captured by higher-order relationships, which are naturally represented by hypergraphs. Here, we study random walks on hypergraphs. Due to the higher-order nature of these mathematical objects, one can define more than one type of walks. In particular, we study the unbiased and the maximal entropy random walk on hypergraphs, emphasizing their similarities and differences. We characterize these processes through their stationary distributions and the associated hitting times, which we obtain analytically. To illustrate our findings, we present a toy example and conduct extensive analyses of artificial and real hypergraphs, providing insights into both their structural and dynamical properties. We hope that our findings motivate further research extending the analysis to different classes of random walks as well as to practical applications.