Assuming you don't need the full potential of a pickup (4WD + 10,000lb towing), then only if the pickup is your single all-purpose vehicle, then yes it could make sense.
But if you have to have an additional fuel mileage vehicle in addition to the pickup... then no. You're taking up the same amount of space with a trailer or a pickup and a pickup is going to cost you yearly in licencing fees as well. Except the pickup is going to need more maintenance and repairs than the trailer.
Convenience depends on what you need to haul and when. I hauled a piano just the other day on my little 4x8 trailer that I tow with my Avalon. It was very easy to load and unload by simply lowering or raising the rear so it matched the level of the porches. We were going to try to haul it in my brother's truck, but lifting a piano up 4ft off the ground to get it into the bed of the pickup would have been a nightmare. Plus my trailer's bed is made of wood which allowed us to screw down some blocks to keep the piano from rolling.
My trailer is also 4x8, which allows me to get construction materials without any problems. Again, the lower bed makes it so much more easier to load and unload.
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