As far as wagons, my 95 Caprice Wagon is the grand king of the hill. Longest wagon you can buy, period (same length as teh old school ones back in teh day). The cargo area behind the driver and passenger seats is almost 8 feet long. I can fit 4/4 DB's, 2 electrics in hard-cases, a half-stack cab, anp amp head, clothes, a jazz drum kit, and other misc. small items plus have a passenger, and I get 18-20 mpg. It is also quite fast and rather inexpensive.
If you really want to haul tons of stuff, go for the obvious choice of full size or even short-box cargo vans.
If you want a newer vehicle that gets good milage and is very reliable, I would recommend a Mazda 6 wagon (24 mpg), PT cruiser (28 mpg), Malibu MAXX (28 mpg), or Dodge Magnum (24 mpg). The newer Jeep Cherokees are actually very well built and good reliability records- my family has never run into problems outside of standard wear and tear with Cherokees.