It takes from 3-5 days usually to get your games. Don't freak out because it has been a couple of days you have to give them time. If it doesn't come within a week you should contact GF support and let them know, and they will send you a new game.
First off, Gamefly doesn't ship on Sunday. Second, there is a 3-5 day waiting period for your game(s). If it has been over a week, go to the "My Account" page and click on the "Report a Shipping Problem" link. Mail doesn't ship on Sunday and neither will Gamefly.