I've had the odd thing take a bit longer, possibly due to Royal Mail as much as Play. I have had a couple of things go missing entirely in the post though, and they've always been fair and speedy with replacing them.
I recently ordered a CD from them, that was backordered. Then I moved house to, funnily enough, about a mile away from their warehouse. They dispatched it to my old address (my fault, I guess) and it was redirected to me. A 1500 mile journey, to end up about a mile from where it started. Not very 'green', oops