Generally, 2X4 GM trucks cannot be towed 4 down. Look for a section in your owners manual called "Recreational Towing."
To be flat towed without modification, GM trucks must have a transfer case (only comes on 4X4 models) with a neutral position. Put the transfer case in neutral and the transmission in park.
Also, normally only FWD vehicles can be towed on a dolly. Since your Avalanche is RWD, you will need either a lube pump or a drive shaft disconnect. Go to the Remco Industries website
to see what is available for your vehicle