There are car rental companies that restrict bringing their vehicles on the ferry, or sometimes they just waive the insurance. Nevertheless, Gozo is worth the trouble since it has the Citadella of Victoria. Built by the Knights of St. John, it is a time capsule of life in an actual fortress. Citadella is home to churches and museums that make it a one-stop-shop of tourist destinations. Within its walls, you will see

The Cathedral Museum boasting of a collection of religious items like crucifixes, rosaries, and chalices
The Museum of Archeology takes you through history, like entering a time warp. Gozo has fossils and structures that are even older than those on Malta island
The Folklore Museum is a crash course in Maltese culture
The Nature Museum for botanical and zoological species