Making a 4 way switch, multiple options
Decent sealed relays are typically guaranteed to withstand something like 100K cycles with a resistive load, which means they can switch on and off every hour and still have a 10+ years lifetime. Unless you need to switch your load repeatedly each minute or more often, I'd advise you to stick with relays.

You also say that MOSFETs switch faster than relays, which is true. However, I'm having a hard time picturing a load for which a delay of 50ms or less would be problematic.

Finally, MOSFETs + bridge rectifier will work with an incandescent lamp, but more sophisticated loads may require proper AC waveform to function correctly. Commutation of a sinusoidal signal with MOSFETs will be much more complicated than with relays (you'll probably end up rectifying AC to DC, doing commutation in DC and install inverters at each load which needs AC).