As others have mentioned, the second and third tier rental companies are much more likely to have geographic restrictions on their rentals. Even though they may have "unlimited mileage," they may limit you to the state of rental or adjacent states. The "big three" (Hertz/Avis/National) tend to not have these restrictions, along with not having a lot of the other things that make car rental annoying with some other companies. I remember reading in one of their contracts that the allowable area of operation was "the 48 contiguous US states and the southern provinces of Canada" - so that's a pretty broad area.

My record was renting a car for $150/week unlimited mileage, and putting 4200 miles on it, driving from Seattle to San Diego and back. They did a double-take when they saw the mileage, but didn't otherwise say anything. I figure that I depreciated the car at least $1000.