I have done both. I towed a PT Cruiser on a dolly from MT to GA.
No problem.
I towed a Jeep four down from MT to Moab, UT, and from MT to the Black Hills (Deadwood, SD), and from MT to NV, and many miles in MT.
No problem.
Both were annoying to hook up in the rain. I won't tow either way in snow. I will not attempt to back up with either system.
It depends entirely on what YOU are comfortable with, and it depends on what vehicle you want to tow.
Front wheel drive vehicles that can not be towed four down (like our PT Cruiser) are great on a dolly. Four wheel drive (or All Wheel Drive) vehicles that can not be dolly towed (like our Jeep) must either be towed four down or on a trailer.
Good luck, and choose wisely.