Don't really post on here much, but in trolling around, I found this thread. Thought I would add to what 45ACP said.
First, the issue with smoking trannies (in general) has to do with the v6 auto trannies, specifically the 4r55e and the newer 5r55e. In addition, the real killers are the '90-'94 Explorer's which seemed to have trannies go every 90k or so (with "normal" driving).
As 45acp said, the V8 AWD Explorer's come with a full-time mechanical AWD unit (BW 4404). The only electrics coming in or out of this thing are for the Speed Sensor (at least in '96 and '97). It uses a viscous fluid and clutch pack (similar to a limited slip differential) to control power to the front and rear.
From the factory, these units are designed to give 70% power to the rear and 30% to the front. If there is significant difference in speed between the front and the rear, it will heat up the fluid and lock the transfer case until it reaches a 50/50 split. This is very nice because it doesn't have to "Clunk" when going into gear. The downside is, there is NOT a solid shaft between the input and rear output. Some will tell you there is, this is FALSE. In addition, the 4404's viscous coupler is known to start showing fatigue later in life. This can be anywhere from 70k to 120k+ depending on driving style and regularity of tire rotations, balances, etc.
Also, from the factory, the V8 AWD Explorer has a tow capacity of 7700 lbs. Would I personally tow this much with mine? Never. But I have towed 3-5k in totally stock form with it, even in the San Francisco City hills (45+ degree angles on stoplights) without a single problem. The V8 trannies are the same as were used in the early F-150 and F-250 trucks (A4LD/4R70(w)). You will likely kill your T-Case and engine well before you kill the transmission. In addition, ford included an axillary tranny cooler from the factory on the V8's.
I personally would not run a locker in the AWD system because this would put additional strain on the AWD T-Case in my opinion, but would suggest a Limited Slip rear differential (many of the AWD's came with LS in the rear). I can also attest that 31" tires will fit stock. I'm running 31x10.5R15's BFG KO's on the stock 15" rims and I get NO rubbing whatsoever. I have no problem driving in rain/mud/sand etc... either with the AWD T-Case installed.
As for U-Haul, that all came about as was mentioned due to the rollovers and poor trannies. Basically, there were a series of lawsuits of guys with Explorer's who towed what Ford said they could and fried their trannies. These people then sued U-Haul so U-Haul said "no no" to Explorer's altogether. I regularly have towed my friends 12" lifted 4-Runner with my Explorer both on a toe dolly as well as a 2-axle transport trailer and have had no problems. I would definitely suggest trailer brakes if you will be hitting a lot of hills because it does tax the Explorer's stock brakes, but giving yourself 5 - 10 car lengths at freeway speeds has always been more than enough for me.
Good luck, and enjoy.