Games such as Batman get free DLC with it for pre sale and if you bought new. You get the catwoman stories if you bought it new. The had DLC charters and batsuits for presale. With mine I got Robin DLC. If you didn't get a pre sale you have to buy it separately.
You should have received an e-mail that says when it was shipped. If it has been more than 7 days then you should report a shipping problem here: http://www.gamefly.com/activity/report-shipping-problem
There were plans in place for Netflix to offer games also. Then they changes the subscription cost and plans and had to scrap the idea. They are trying to get away from send anything in the mail. They just want to do streaming . Can't do that with games.