First and most importantly, the working partner with whom you end up depends almost entirely upon the training the animal and YOU get.
In my experience most failures occur when folks get in over their heads with critters. Some figure it out, mostly those for whom the relationship is as important as the work done.
Sadly people and animals can get badly hurt when neither knows what the other needs or wants, and many equines pay with their lives for that ignorance.
Anyway I find mules and donkeys to be less reactive to scary stuff than horses and ponies. That's important when going down the road and barking dogs charge your carriage or a truck backfires. You want steady and calm, not flashy and high headed.
Hanging/relaxed heads, lips and tails are typically indicative of mellow and relaxed while head/tail in the air can be high anxiety and maybe not listening to you either.
Mules and donkeys are also considered by many to be smarter than horses and not suitable for beginners because of their cleverness. That stubbornness they are famous for is really IQ in disguise.
Also donkeys and mules can be less prone to some lethal conditions which affect horses and ponies.
What makes mules or donkeys pull ahead for me is that they are also very good at predator control, and that can be really important on a homestead.
For anyone considering adding a beast of burden to their farm, I hope you'll ask any questions you have.
Equines are surprisingly delicate--I know horse people who wear tshirts which say 'horses spend 11 months getting born and a lifetime trying to die" because boy does that seem true despite excellent husbandry.
Hth, I'm happy to answer any questions I can.
The answer is the same as the answer to other permaculture questions. It depends on your climate, your land, your work plans, and your leanings.
I'm a horseman having been riding them since two years of age. I've had one driving lesson with a nice Amish fellow, and I have a ton more about driving to learn even though I've been paid to train horses in my past.
I fear for the animals that won't be handled correctly. Please learn all that you can. An experienced older team is a great start.
Consider the amount of pulling resistance or "draft" and be realistic, for the animals sake. There is info on limits regarding plow size, soil type, and draft animal weight.
Horses and Oxen have the potential to weigh the most with mules being just slightly smaller than their horse mother.
Donkeys are of course the lightest.
Donkeys and oxen can be healthy on a lesser quality grass than horses. Also, donkeys have fewer hoof and leg problems. Last, donkeys handle the heat better and will not work themselves to death while a horse can be pushed and worked to death. Mules inherit the donkey traits. So, that's why mules were used in the cotton growing south while heavy horses were more common where the summers are less harsh.
I am partial to halflingers they are a horse breed that are a mix of pony and Belgian in appearance, they get fat by looking at grain and are super easy keepers. They are known to have independence thoughts, but I like animals that are smart enough to think and decide things for themselves!
They can trail ride, drive, and draft, because their size fits all these purposes, in fact there are several Amish in town that use them instead of having Belgians for work and Standardbreds for driving the buggie.