UPS, USPS and FedEx have all done something to piss me off at one point. I've yet to have a damaged package from them, or a package get lost, yet I always get unneccesary waits and delays. I think the worst was when I sold a digital camera on eBay to someone in Canada, and UPS let it sit in customs for about a week. Both the buyer and I had quite a scare there. Although when I purchased something that came from Canada last year, it was in and out of customs in a day. Lately, UPS has gotten better, and FedEx has gotten worse. I use to prefer FedEx over UPS, but now it's quite the opposite.
I've only delt with DHL on a few occasions. Twice was sending my PowerBook to AppleCare for repair, and everything got their overnight. Other times were miscellaneous packages, and they all have arrived on time if not earlier. My most recent DHL shipment, was an international edition of a textbook I purchased off eBay. Much to my surprise, the book shipped out of Thailand, via DHL. It left Thailand on a Monday, and was at my door in St. Louis on Wednesday afternoon. I'd consider that excellent service, especially considering the fact that sending stuff between college (Rolla, MO) and home (STL) takes that long, if not longer.....and they're about 100 miles apart. I've had packages coming from places as close as Chicago take nearly a week to get to me....and DHL can get a package halfway around the world in less than 3 days. So in the few times I've used DHL, they have never, ever screwed something up.