I pre-ordered a 4S last week from AT&T directly. I tried to get it delivered to my work address, but they refused. I told them I wouldn't be home to receive the package during the day... (iPhone regulations = they can only ship to billing address on credit card.)
Today it shipped, I got the UPS text message, ran home from work within 30 minutes, but the package was already gone...
I asked around, and the building caretaker said he saw 2 people following the UPS guy around looking in people's patios.
I called UPS, they didn't really care. I called AT&T, and they were very nice. Immediately refunded me, but said they have none to ship. They kept no reserves on hand. They reversed the upgrade on the account, so I could just go to an Apple or AT&T store and buy one any time, or they could ship me another one in 2 weeks.
My advice, make sure you arrange for shipment to somewhere you'll be! I guess the thieves are just following the UPS guys around on iPhone day, raking in the dough...