True. The nice thing about 16' lumber is that you can still just barely haul it in a full-size pickup by weighing it down, strapping it in, and putting a flag on the ends sticking out. Once you're talking about 20' plus you probably need to pay them to deliver it -- which realistically is the better option anyway if you're talking about doing a whole garage, as that would be a lot of trips in a pickup truck. A shed is small enough it's easily manageable with just a pickup truck.
The one thing the big box store had, that I wish I had gone to a lumber yard for, is PT 4x8' 3/4" plywood for the floor. I ended up using non-PT and painting it to seal it, but it still probably won't last as long. At least it's a couple feet off a bed of gravel, which should help.
You can also get yourself a ladder rack for your truck -- once you're putting the the lumber over the front of your truck, you can balance it better, and of course then you don't have lumber sticking waggling out 10 feet behind your bumper.
Generally not - contractors (their main business) order enough for a house but then on the last day call in 2 sheets of plywood because they didn't estimate something right.
I'm guessing the first order (a whole house!) was more than large enough to cover the cost of an extra free delivery though. This is about relationship management at that point, which won't be the same for a hobbyist only doing one smaller project.
The point is hobbyiests don't visit often enough to be worth figuring out how to charge for shipping.
Note, at a real lumber yard you need an account. They can accept cash sales but they would rather not. They won't talk to you if someone else with an account is there. Once you have an account (which is free) you have passed the initiation and they love to help.
The one thing the big box store had, that I wish I had gone to a lumber yard for, is PT 4x8' 3/4" plywood for the floor. I ended up using non-PT and painting it to seal it, but it still probably won't last as long. At least it's a couple feet off a bed of gravel, which should help.