Your typical four wheel drive vehicle has a front and a rear differential. When 4wd is not engaged you typically run off the rear differential. Both rear wheels but one can “slip.” This means that they can turn at different rates. This is useful in case you would like to make a turn. It stops your wheel from hopping. It also means that on a slippery surface you can get stuck with one wheel spinning on ice while the other will not turn though it is on firm surface.
If you engage 4wd hi, you will engage the front axle, supplying power to both front wheels. In this mode the front axle may slip as well. So again, if you drive your vehicle into a snow bank so that both a front and a rear tire are on ice, they will spin and you will go nowhere even though the other two tires may be on firm surface.
At this point, things will depend on your vehicle. If you shift into 4wdLo, your vehicle may simply drop to a lower gear ratio (wheels turn slower) and that is all. Or, your vehicle may drop into a limited slip mode which will only allow your vehicles wheels to spin independantly to a certain degree (the wheels on the ice may spin, but the others will turn at least a little,) or your vehicle may go into 4 wheel lock. 4 wheel lock means that all four wheels will turn at the same rate no matter what and will not be allowed to slip at all. In this mode, you had better be on a slippery or muddy surface, or else your wheels will hop and you will place undue stress upon your drivetrain and suspension.
In some vehicles you may have all these options; normal two wheel drive, 4wdhi, 4wdlo, and lock. This is generally considered to be the optimum set-up and you will typically find it on serious SUVs and pick-up trucks.
All Wheel Drive is a different animal. Manufactures make different types of AWD systems. The typical system will provide power to all four wheels at all times. Usually this will be in an 80/20 ratio, with 80% of the power driving the rear wheels and 20% driving the front. This gives you nice control and handling characteristics in a variety of situations. This system is usually malleable, though in that it contains a limited slip that integrates all four wheels. Any time a wheel loses traction, power is cut to that wheel (to a minimum power distribution to detect slipplage,) and is distributed to the remaining wheels that have good traction. In modern systems their is a computer involved in deciding how much power to send each wheel depending on the slippage that is detected.
This kind of system gives you excellent control on icy and slippery roads, and that is what it is designed for. However, it is not very good off-road. The system gets spoofed in an off-road situation, in mud, or in deep snow and tends to distribute power poorly.
An AWD system is therefore very good for road driving in most normal conditions.
Some AWD systems, like Subarus are fairly smart and the computers have various mathematical situations “mapped” onto their systems to attempt to detect deep snow, mud, or off-road conditions versus icy road conditions. In the former, they attempt to mimic a typical four wheel lock kind of scenario though still allowing some slippage.
In some high end SUVs you can get all this put together. When you drive around day to day, you are in AWD. In deep snow, or extreme conditions you can override the AWD system and go into a tradittional 4WD hi, lo, or lock mode depending on what you think your needs are.
To further muddy the waters, there are also some hybrid systems like Audis Quattro which behave like a combination of all these things put together. In quattro typically each wheel receives 25% of the power. Based on the mapping on the computer chip Quattro will reasign power and slippage parameters as its sees fit depending on what kind of scenario it envisions itself in.
Some of the most expensive and complex systems, like Mercedes 4matic, kinda suck. Other cheap systems, like Chrysler’s AWD also suck. Some expensive systems like Quattro work very well. Some cheap systems like Subarus AWD work very well.
For tradittional 4 wheel drive you will also have to decide what you want. Some are not very heavy duty and are to only be engaged for short periods. Others are tough.
Personally, I like my '79 Chevy pickup with normal two wheel drive, 4wdhi, 4wdlo, and lock. I can pretty much go with impunity wherever I want without fear of getting stuck. Other than that, a 2wd with limited slip is usually just as good as AWD, especially if it is a front wheel drive car.
I used to have a Chrysler Sebring, FWD with limited slip that was equal to anything else onroad. Because the weight of the engine was right over the drive wheels it pretty much always had traction in an onroad situation. Because of its lighter weight and lower center of gravity it was much more manueverable and easier to drive in slippery conditions than most SUV or trucks with any kind of AWD or 4WD system. It just couldn’t go offroad or in deep snow.
Be advised that none of these systems do any good in terms of your ability to brake. The heavier the vehicle the more difficult it is to stop. Period. If you can’t stop, the amount of traction and control an AWD/4WD system gives you can be dangerously deceptive.
The exception to this is, again, my truck. There is plow in the front of my truck. Dropping the plow is an excellent braking manuever as it will tend to bite into even ice… and if it doesn’t the plow is a nice shield as you crash.
I hope this helps.