Here is the official answer on what to do when your game has not arrived.
If one of your games disappears between point A and point B, don't panic! Simply follow the steps below:
Game has not arrived to you:
Before reporting a game as lost, go to My GameQ (http://www.gamefly.com/queue/default) and check the Ship Date for the game. Please allow 7 days after the Ship Date before reporting a game as lost.
If it's more than 7 days after the Ship Date and you still haven't received the game, go to Report A Shipping Problem (http://www.gamefly.com/activity/report-shipping-problem) and select I never received a game.
Source: Game FAQ ID #39 - https://gamefly.custhelp.com/app/answers/detail/a_id/39/kw
Good luck and good gaming.