When you consider the volume that they are shipping, you need to understand that the order that people click their mouse might not transfer 100% into how the warehouse completes the order. This isn't a ma and pa online store shipping 10 things a day. Also, if you think that canceling your order will have a profound effect and cause them to see the err in their ways, I think you are mistaken

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Their customer service could certainly use some work, but I suspect that issues seen in the iPhone shipping can be traced back to the relationship between Apple and AT&T...Apple's secretive policies has got to make it tough for AT&T be consistent when their way of doing things is dictated by their supplier.
Yes waiting sucks. Yes they should ship within the time they give you. I can go on and on... The truth of the matter is that you're an early adopter to an extremely popular product and you knew what you were getting into. If that doesn't work for you, then maybe the iPhone isn't for you.
And I'm not trying to be argumentative, believe me I want my phone ASAP too! I ordered on 7/7 and am still on backorder (16GB on AT&T). It's just how this is going to work. I'm just thankful that they even let us order online so I don't have to deal with going to the store.