It depends. Sometimes you can find good deals, but yeah, the 'usual' price is pretty high. Then again, you should calculate out the price for the extra gas for trailering - usually pulling a car behind a u-haul halves the gas mileage. So, depending on how far you're driving and what gas prices are like in that part of the country, it might not be THAT much more expensive to ship.
You do also need to consider the fact that someone has to be there when the shipping company gets the car, and someone has to be at the other end when the shipping company delivers the car. If you're driving yourself, you may not be able to be the person at both ends of the trip.