Have you ever noticed that in winter driving conditions there appears to be a disproportionate number of four wheel drive vehicles in the ditch?

I'm pretty sure there's a lesson there.

Now there's a technical issue that I never considered until I got a 4WD pickup and experienced it myself.  When the old-fashioned 4WD is engaged, the front and rear drive lines are locked together-- they cannot rotate at different rates.  That's pretty much common knowledge (you can't turn a corner without one or more tires slipping) but it has another implication:  When you hit the brakes it is impossible for only one wheel to lock up.  Since the two drivelines cannot rotate differently, you either lock up one wheel on each axle or you lock up all four, i.e. your braking ability on ice is better with 4WD than it is with 2WD and no ABS.