Brakes can be a problem. Generally speaking you never set your trailer brakes at all, it's just asking for trouble. They're naturally warm from the motion of the wheels, and if there's any ice or snow on them then they're going to freeze as soon as you dynamite them. As you found out in Calgary, they are much more reluctant to break free again! The trick is to make sure your lockers are all engaged when you pull up. If the truck insists on rolling, set the tractor brakes but only for as long as it takes to jump out and chock a wheel. Immediately release the brakes and you should be ok, but just in case, you're all locked up and as long as you pull away slowly you shouldn't do any harm even if a tractor wheel is stuck.
As for trailer brakes, they can freeze up just by virtue of being parked for a long period in high wind. It happened to me once at BHP and I'd only been there for 4 or 5 hours. Even if only one freezes you can usually feel it, but just in case some folks put wheel tabs like these on their trailers.
It's easy to see in your mirror then that they're all turning. When you first pull away, just snake left to right until you can confirm that everything that should be is turning! Some people do the cheaper, easier and just as effective option of simply spray painting half of each trailer tire flourescent orange.
If a trailer brake freezes, for some reason they seem to be much more receptive to the idea of breaking free in reverse. A good habit to get in to is just to back up a foot or two every time before you pull away. If you do have to resort to the sledgehammer thing, rather than beating the snot out of the rim, just climb underneath and tap the dust cover of the offending brake. Usually a couple of taps and she'll free up. Not nearly as much fun as wailing away with a sledgehammer, but much more effective!
When you're going to drop a trailer, the nice thing to do is wait half an hour before you dynamite the brakes, and that gives them time to cool down. It's a bit of a pain, but not nearly as much as picking up a trailer that someone else didn't let cool, and finding a whole bunch of brakes frozen right up. Good chance to do some paperwork!