UniLodge is also technically off campus, but it's closer to many lecture theatres than some of the on-campus accommodation. Most of the halls (apart from Burgmann, Johns and UniLodge) are owned by ANU and all apart from the exceptions of UniLodge and Fenner are on campus.
It is very difficult to get accommodation in the city without paying quite a lot for it. Whether or not living away from ANU is better is really up to you. To be honest, I never really thought that on-campus accommodation was for me, but I'm still here after almost 3 years. It can be quite fun and it makes socialising very easy. On the other hand, there are benefits to living on your own or in a share house too.