I have used all 3 methods with pros and cons.
First was a Roadmaster tow dolly with steerable axle. Very convenient unless pavement was wet to hook up safety chains and when you need to back up. It was hard on tires for whatever reason. Large drawback was pitting on the front end of the vehicle.
Then I went to a 4 down method, which was very easy but was expensive. Base plate, transmission lube pump, auxilliary brake and tow bar. Very limited as you are stuck with one vehicle to take. Also had pitting on front of vehicle even with protection. You also can't back up ANY! I found out expensive way thinking I could back up a few feet every once in a while until I bent an arm.
Trailer I have done for 2 years, which I have liked very much. I love the convenience of taking any vehicle I choose and especially like that I can take my Harley and a vehicle. I have never had a storage issue for the trailer at campgrounds and I like that my vehicle is clean once I arrive and secure when I stop overnight. I have traveled on sloppy roads and it is a real problem getting the windows clean sufficiently once you want to use your vehicle. Largest drawback with trailer for me has been when I want to take the motorhome for service, I don't want to take the trailer so I have a vehicle to get home after dropping off the motorhome at the service place. That is definitely the largest drawback for me as I have to have someone come pick me up with the vehicle. You can obviously back up and have additional storage if you choose. I also have used it as extra bunk space (mine has 30 amp power with roof heat/air) when we go to NASCAR events.
Unfortunately, this is something you must decide what will satisfy you the most. I would encourage you to think how you currently use your set up and how you envision using it in the future to make your decision. If you can afford or justify the expense, it is great to have two methods. Good Luck.
2009 American Eagle 42'
Trailering HD Road Glide and Saab 9.3 or Cadillac Escalade ESV