So, I might catch a bunch of crap for this, but I thought I would ask. Has anyone ever flown a pet anywhere whether it be "shipping" or as "checked baggage"?

I found out after I bought our plane tickets to go home for Chistmas that Southwest is the only airline that doesn't allow pets (just my luck!). We'll be gone for almost 9 days and the hours that we're flying, Ferdinand would have to be in a kennel for 10 days. I've visited several kennels in the area, and I refuse to leave him there. I visited Petsmart's Petshotel and thought it would be good? NO!

They don't get any access to outside, you have to pay $5 extra per day to get them a crappy little cot, they get to walk around the outside of all the kennels twice a day, and there are all these other things that you can pay extra for... plus it costs a fotune.
Anyway, now that I'm done ranting... I called Delta, Continental, and Pet Air. They're all around $170 each way. But knowing that he'll be happy for the whole 10 days instead of in a 3'x3' cage, I'd rather spend the money. So if you have flown your pet before, what was the experience like? Have any suggestions on an airline?
Thanks!!