What are the diff between tow bar, dolly, trailer?

I see that most people tow cars with a bar and 4 wheels down. Some use a trailer or enclosed trailer and a few use a dolly for the front wheels.

Seems like the trailer is the best choice to save on wear on the car but then you have to buy the trailer and it probably impacts MPG.

Is the dolly only used for cars that won't allow 4 wheel down towing?

Basically what are the pros and cons of each?