If you want bad endings, you definitely have to go back to old school games. Look up some ending for classic NES games on YouTube. Usually (after a long, difficult game) the ending would just be some text saying something like "Congratulations! You [rescued the princess or whatever]. The End."
It takes longer to get a purchased game than a rental game in my experience. Make sure you got a confirmation email to confirm that you bought it. Check how many days it says it might take to arrive. If you exceed that, go to "My Account" and report a problem.
+1. I noticed this too. I drop my games at the post office, and I live in the same city as my shipping center, but somehow it takes a minimum of 48 hours for the game to be received? Letters don't even take that long when going just down the street, let alone "quick ship." I swear, Gamefly must be letting these things sit in a bin for 2 days before scanning them so that they don't have to send out as many games.
Even when my availability is terrible, they usually ship within 48 hours. (That's /ship/, not arrive at home.) If it's gets longer than that, they'll probably send you something lower in your queue. (So make sure you make at least 10 games in your queue if you want them to ship faster.)