Wow. I'd go stir-crazy going six days without playing SOMETHING. It most likely got lost in the mail. USPS is responsible for shipping. I'd wait a couple more days, if it has not arrived report a shipping problem ASAP.
First: Gamefly answers are member supported. There aren't any Gamefly employees here. Second: You can subscribe to e-mail notifications under you "My Account" to be e-mailed when Gamefly has received your games and when they've shipped your game.