Given a choice, I'd rather camp in an official campground, be it National Park, state park, National Forest, or state forest. (The national and state forests are less used, less "developed", and therefore give you a better glimpse of nature.) The costs are usually affordable. Whether you sleep in your vehicle or a tent is a matter of taste.

I've slept in some primitive conditions and some luxurious; some official (i.e. permitted) and some unofficial (i.e. you can get away with it as long as they don't notice you're there). But I've never slept in a vehicle that had a "hookup".