I so know how you feel.  One of my Yahoo Japan 
packages was recently held by a mail processing 
center in California for nearly a month... after 
repeated calls to every post office in the 
vicinity, as well as the USPS customer service 
number, they never did manage to tell me WHY 
they'd held it.  One day it just mysteriously 
shook itself loose and showed up on my doorstep.  
:P

Now I'm in the middle of a new panic... my payment 
for what you've termed a "certain mid-December 
half-off sale" has been rattling around out there 
somewhere since mid or late December.  I really, 
REALLY want the cels that I bought, but I really 
don't want to end up paying for them twice.  :(  
The post office likes to blame these delays on 
holiday mail traffic and increased security since 
September 11, but really, it shouldn't be THIS 
bad.

For now, I'd recommend keeping the faith and 
waiting a while longer for your package.  Once you 
claim for insurance and are reimbursed, you no 
longer have any legal claim to your package even 
if it DOES show up.  And that would be a horrible 
tragedy as well.

We're all keeping our fingers crossed for you!!