Dolly: It just works. I drove from Montana to Georgia with my PT Cruiser on a dolly, 3 or 4 days each way. Some say 4 down is "easier". Yeah, I guess it is.
However, the PT can't be towed four down, so the dolly was used. It worked great! In this state, a title, registration, and license plate is not required for a dolly.
Keep in mind backing up is NOT recommended! A dolly is especially effective with front wheel drive vehicles.
Trailer: Will accept ANY vehicle up to the size/weight limits of the trailer. No worries about brakes, they are installed on all the wheels of the trailer. No problem about backing up, you are limited only according to your skill level, which can be improved with practice. No worries about lights, they are installed by the trailer manufacturer. An aluminum trailer saves a lot of weight, but can wreck the budget. They are pricey!
A trailer can be used for many other things. I used mine to haul rocks for landscaping, and hay for the horses. My trailer cost $2295 out the door, plus about $153 for permanent registration.
Four down: Many vehicles are not towable four down without expensive modifications (lube pumps, drive shaft disconnects, etc.)
The Ready Brute integrated towbar/braking system is the best bang for the buck, IMO.
Nearly all towbar manufacturers say backing up is not recommended.
A totally adequate 5000 lb. capacity tow bar by Reese is available from Walmart for about $165. Sure, it is a fixed arm towbar, but it works just fine. I towed Jeeps with one for many years. Some say they are too inconvenient and difficult to work with. I did not find that to be true. In fact, I often hooked the Jeep to the coach by myself.
Lighting can be cheap (magnetic lights from Harbor Freight, about $25) or rather expensive (about $100 for a plug-n-play wire harness).
I hope I helped and did not contribute further confusion.
Good luck in whatever you choose.