My rule of thumb is...if it is not medical in nature...is not life or death, or will not make or brake you...give them slack the first time. If packages go buh-byes, the best thing to do is contact the shipping party (online merchant , catalog company, drop shipped items as there is a long middle man chain most of the time with these. ) and see if they can take care of you. If they refer you to the shipper (which they authorize you to use, but they will NEVER blame them directly as I think some of the larger companies sign agreements saying they can't bash the courier while receiving bulk pickup/shipping deals, otherwise you would probably never see free shipping), also places like my favorite online store that allow customers to publicly post will delete your posts if you bash the couriers especially UPS for some reason.
I tried to post about a tv that UPS had delivered to me at the site I purchased from. The delivery guy (I can tell he just got his commercial license and probably just passed his DOT inspection) walks down my driveway with a 40' tv on a handtruck with more than 50% of the box sitting over the sharp edge and POP there goes my tv screen. He didn't know I was watching him the whole way down driveway and he tried to play it off. He didn't want to lose his job so he made my delivery more painful.
Long story short, UPS said they were not responsible for it as it made it to my house or some other line that resembled the same color as their shirts. When I spoke to the merchant again and let them know how bad UPS had been in that situation, they were to send me out a new tv once receiving my return item and $200 credit to the store for my troubles (because buying from them made me miss a local sale price that they beat and was no longer available.) Unfortunately the tv went out of stock and I had to select another one which kind of sucked because I bought my family all matching televisions and now have an oddball.
On another note...I have had the best experiences with UPS as all of the other ones ALWAYS deliver packages to me in the most crap condition. You really have no alternative but to deal with them (the huge companies) unless you want to pay ridiculous money and when ordering from most merchants you don't even have that option. Just the 2 or 3 couriers they offer.