My wife has a car with a hatch-back with a small bed in it. I can put a good bit in there with some tie-downs and the back-seats folded down.
If I need more stuff hauled, or just big stuff, I use one of these:
http://www.harborfreight.com/1090-lb-capacity-40-12-in-x-48-in-utility-trailer-62645.html
It's a trailer that folds up so it doesn't take up so much space when it's not in use. Costs between $200 and $300, depending on whether you buy it on sale. It cost about $250 to put a trailer hitch on my sedan, another $150 for a forever license tag for it, insurance is included with my car, and another $100 or so for plywood, lumber for the railings, and carriage bolts.
I can carry a pretty decent sized load of stuff with it and it's very maneuverable. In fact, it's so easy to tow it's easy to forget you're pulling it, which has been the only problem I've had with it. Well, except that I learned the forever tags are quickly stolen from the trailer in the parking lot at the hardware store. (I now put the tag in the rear window of the car towing it after it cost me about $30 to get a replacement tag.)
If I had a huge load of stuff I pay Lowes or Home Depot to deliver it. If it's that much lumber I would rather pay someone $80 to load and unload it for me. (I'm no spring chicken!)
That trailer, all told, cost less than $1000 and will keep me from spending thousands and thousands of dollars on pickup trucks, low gas mileage, higher insurance costs, etc. It's slightly less convenient than a pickup truck, but only barely. I only live a couple of miles from Lowes, etc.
I wouldn't recommend it to everyone, but it works great for us.