Out here it's against code, if that matters, to place cased wire (romex, etc) inside conduit. It has the be single strand, solid wire. I'm not sure why, but that's their rules.
^^^ This. (mostly)
Per the NEC, for underground conduit you pull individual wires, insulation type THHN/THWN (the "W" is for wet locations, which underground conduit is classified as). You can get this type of wire in HD or Lowes on a spool. Note that in most cases, conduit + individual strands of wire will be less than multi-conductor UF cable. Unless properly derated, you can not put multiconductor cable in conduit except when the conduit is used in short lengths for physical protection against damage.
Note that you generally pull stranded wire, not solid wire, through conduit. Solid wire does not pull easily, and any bends will cause problems. The THHN/THWN wire on the shelf at HD or Lowes will typically be stranded.
Note also that per the NEC,
UF direct buried: 24";
UF direct buried, 20A or less, protected by GFCI breaker: 18";
wire in non-metallic schedule 40 conduit: 18" to top of conduit.
The advantages of using conduit are many-fold: rodent protection, damage protection, ease of wire replacement, etc.
Wrooster