It used to be something that was found only on vehicles that were intended for driving off-road and, when driven on-road, they had to be driven in 2WD mode.
More modern four-wheel-drive systems, now usually called all-wheel drive, have been designed with on-pavement use in mind. Many of these systems use computers to detect when wheels are losing traction. Then power can be directed away from the wheels that are losing traction and toward wheels that have more grip.
Acura calls its advanced AWD system sh-AWD for "Super Handing All-Wheel Drive." It redirects power from side-to-side, not just front-to-back, as the vehicle turns to improve responsiveness and handling. The result, in the turbocharged RDX, is a crossover SUV that can actually be fun to drive, when conditions allow.
It's important to remember that all-wheel-drive doesn't turn your vehicle into Super-car. While AWD helps your vehicle to get going in the snow, it doesn't help it slow down or stop any faster. And good tires are still important. AWD can make the most of the traction you have, but it can't create traction out of nothing.