I've found that Fedex and other shipping services are more expensive than the airlines. As an example, on my last trip to Hawaii, Fedex wanted $200 vs. United's $50. I take only 8 clubs in a Sunday bag, buy the balls at the destination, and use the weight/room saved to pack clothing. In most cases, on a leisure trip, I am able to get by with a carry on and my golf travel bag.
I travel frequently internationally. I always rent unless I plan to play more than 3 rounds. In most cases you can find an off course place to rent quality, name brand clubs much more cheaply than at the courses. If I am going to multiple destinations, then the clubs stay home...period. Not worth the hassle of transport through multiple airports, customs, concern about loss or damage and renting a larger car just for my clubs.