True 4WD uses a series of robust differentials and transfer cases is still mostly reserved for trucks and bigger SUVs, but AWD, which also has the ability to power all four wheels, is available on a wide range of vehicles. There are small hatchbacks from the likes of Mini and Subaru that can be had with AWD plus sedans and wagons like the Nissan Altima and the Buick Regal TourX and of course a wide range of crossover SUVs. You can even get a minivan with AWD in the form of the Toyota Sienna.
Pros: With the right tires, bad road conditions from snow and rain are no match for 4WD or AWD. Being able to deliver power to all four wheels instead of just two can get you out of tight spots and give you peace of mind when the roads get ugly during winter.
For off-road enthusiasts, 4WD or AWD is a must. Based on the kind of off-roading you want to do, you may need a sophisticated 4WD system like the ones available on the Jeep Wrangler, which are specifically designed for extreme off-road use and not just slippery roads. Some AWD systems can also allow you to do some light to moderate off-roading like the ones found on the Jeep Trailhawk models.
AWD can also have performance benefits. For example, the high-performance Ford Focus RS is AWD while every other Focus is FWD. AWD allows the more powerful Focus RS to evenly distribute its power to all four wheels rather than putting all of the burden on just the front wheels. This torque vectoring AWD system both improves performance on the track and allows for better traction when the roads get bad.
Cons: Almost every time you opt for the 4WD or AWD option over the 2WD model of the same vehicle, you take a fuel economy hit. Due to the added weight of the extra parts needed to power all four wheels and the fact that you're powering more than just two wheels translates to worse fuel economy. Advancements have been made like hybrid systems and driveshaft disconnect to help save fuel, but if you're shopping for a vehicle with an AWD or 4WD option, make sure you're checking how much more you'll be spending on fuel.
Not only does 4WD and AWD make you spend more money at the pump, but you'll spend more at the dealer too. Some vehicles come standard with AWD or 4WD, but if you're upgrading to it as an option, it makes the price of your car go up. It can be worth it for the extra versatility it provides and sometimes it's a necessity depending on how you'll be using the vehicle, but the extra cost is something to keep in mind.