Its not about which one of these technologies is better than the next. They each have their place in the world. Whats important is that you understand the difference and dont use them for something they were not meant to do. many resources in search engine have discussed these technologies in details
DNS is actually the domain name resolver which actually has nothing to do with a proxy. Where as a proxy it's kind of like a tunnel where your internet sends information across the internet through that tunnel. Nowadays of VPN is just a better choice overall.