UHAUL is lousy
DON'T DO IT. UHAUL really sucks. Penske's the way to go, or really--anyone else.
I've moved 28 times in my life (about 15 times while on my own), and UHAUL has screwed me somehow every time I've used them. Once, the truck broke down in the middle of nowhere, another time, they overbilled me and took six months to correct it. Another time (hey, they had the cheapest rates, so I tried them again!), I made a reservation, and when moving day came...no truck. It's next to impossible to get them to answer the phone, too.
I'm surprised that UHAUL was more expensive than the others. Usually, they are cheaper, and I think that's how they get the market cornered. People wanna save money, so they go with UHAUL. MISTAKE!!!!!
The other suggestions were great, though...also check the Better Business Bureau's website, or epinions.com.