I second that about the peat moss bales. You'd have to till in a huge volume of it to actually change the properties of your soil, though.
If you have clay, the goal would be to incorporate enough organic material to make the soil loose and loamy. Sand will help, but you still need something to decay. Bulk manure works great (and is cheap). Best thing would be compost. If you don't already, I'd make a compost bin out of some pallets and check out the Rodale Book of Compost from the library. You can basically turn everything (even junk mail, newspaper, and cardboard) into free fully-composted dirt which will hold moisture (which is why you'd add peat moss anyway). Do you have a moisture retention problem or is it more that your soil is not easily workable because it's clay?
Also, I used to live and landscape near Nashville. The clay there was pretty unreal, so we used a bagged product called Soil Conditioner, which is shredded pine bark mixed with a little sand (I've had a hard time finding it in Kentucky). You blend it into the soil at something like half and half if the clay is really sticky, and it decays and breaks up the soil by incorporating organic material. Bonus points if you add equal amount of manure or topsoil to the mix. Barky Beaver is one brand, made in Alabama, we used to order by the truckload. I have to say that I never lost a tree where we prepared the soil in that manner.