I agree with kelco9. If you're playing only one round, then rentals are the way to go. But 2 rounds or more - the additional airline baggage fee is about 3/4+ of the way paid for with just two rental charges.
And... if Virgin Atlantic ever gets popular enough over here to become a frequent domestic airline option - they charge $0 for golf clubs.
Virgin Atlantic is by-far the best airline I've ever used, wish they would expand to the US for intercontinental options.