Don't believe that any of them is "better" than the other(s). You'll find folks that will swear by any of them and be able to give you a boat load of reasons why their choice is best. Depends on your personal likes, health and general physical condition.
That being said; I tow 4 down. I don't have a dolly or trailer that I have to find a spot for, I can hook and unhook as fast as any of the other choices and the vehicles I like to drive as a towed are also vehicles that are capable of being towed 4 down. That capability is the one big factor for towing 4 down...your vehicle of choice has to be able to be towed flat and not all vehicles have that capability and then top that off with possibly having to buy a new vehicle if yours lacks that capability and you have found the big factor that drives some to dolly towing. They may have a daily driver that they like (and it is paid for or nearly so) and it isn't on the 4 down capable list; that leaves a dolly or trailer. Fortunately, I've always liked Jeeps and Ram 4x4 trucks and they've all been amenable to 4 down towing.
The few friends that I have where we snowbird that don't tow 4 down have extenuating circumstances that require a trailer; one has a Jeep and a Trike that he puts on a flat bed trailer and another that has Smart car and a "his" and "hers" Harley that all fit in an enclosed trailer. Trailer by necessity and another friend that dolly tows his Lincoln. The car is paid for and they don't go anywhere that the Lincoln isn't at home (strictly town roads not gravel and dirt like my Jeep :-). Again, dolly by necessity, not necessarily by choice.
You'll get replies from all the "camps" on their choices and reasons. They are all good and they are all valid; it is your decision based on lots of variables. Do you want to take a vehicle you already have in your stable? Is it capable of being towed 4 down? If not, do you want a new vehicle or a used vehicle that is capable? Can you afford the change if that is the way you want to go? Any of the choices is not cheap, but, used dolly equipment can usually be found for a pittance, while trailers are the next step up in cost, though used trailers can be found for reasonable cost. 4 down is likely to be the most expensive initially for the chassis fittings (base plate), the tow bars, the wiring for the lights and the brake package.
One thing to keep in mind for any of the "choices" is to be sure that your motorhome is capable of towing the package (vehicle and tow equipment), i.e., mind your motorhome towing capacity specs as not all motorhomes are created equal in that regard.