I've ordered books, cds, and dvds from Amazon a number of times and never had a problem. I use the cheapest shipping and just wait, but they eventually show up at my door. Packages from other booksellers I've tried, including one in Spain, wound up at the Correo International. (I assume everyone knows what a hassle that is!)
Regarding express services, I find the US Post Office's Priority Mail International to be cheap, reliable, and fairly fast - they usually deliver in 4 or 5 business days. Only problem is that package tracking is a challenge, with overnight updates and multiple sites, depending on whether the package is still in the US (usps.com) or has arrived here (correoargentina.com.ar). But they've never lost anything, and my worst case delivery time was 8 or 9 days due to holidays both here and in the US.
I've had nothing but problems with FedEx, and I'll never use them again. If anyone is interested, I'll post a war story detailing hundreds of dollars in unnecessary costs due to the incompetence of the local FedEx franchisee.
For really important, must-arrive-at-any-cost, stuff, I use only DHL and bite my lip when I pay the USD 75 fee for a small envelope.