+1 for having a pickup truck. It works for the little and medium size stuff. Anything bigger and renting a panel truck is the way to go.
I have my eye out for a beater pick up. I can get most anything I need with my trailer - I have had everything from lawn tractors, to bulk stone, to trees, to demolition debris, to furniture, to a swing set in that thing.
But if I have to go pick up a 4x8 sheet of plywood, it does not fit in the Explorer (well) so I have to put the hitch on, hitch up the trailer, check the electrical, and then when I get back I have to monkey it back into its parking spot and then undo the whole thing. Being able to just take an old pickup to throw sheet goods in would be much easier.