It's possible to acquire the dog's collars for free if you perform certain tasks or talk to certain NPCs while controlling the dog.

Leather Collar - Talk to Braveheart after defeating Thraax.
Spiky Collar - Talk to the Sting Alchemist in the desert after defeating Vigor.
Defender Collar - After being jailed for ruining the queen's banquet, defeat all the enemies as the dog before letting the boy out.
Spot's Collar - Talk to Braveheart after obtaining the Wind Walker.