Four weeks is a long time to be waiting for an order, but it might have something to do with the size of the order if it was a lot of DVDs - It took 3 weeks for a shipment of 4 dvds to reach me sent out from Denmark (to Australia), and I've been waiting 4 weeks now for another 3 dvds... so it's entirely possible that the order is still in transit.
In the past, I've ordered a lot of things from the USA, and have had differing amounts of time they have taken to get to me. From Global Priority parcels that took 3 days from San Fransisco to my door (including a weekend) to 6 weeks for a large box of model figurines from Florida.
Was the recent order significantly larger than the previous ones? Parcel size -can- make a difference, especially since large parcels are more likely to be opened and inspected by customs than smaller ones, and customs inspection times can vary depending on your country (my first 5-star order took 5 or 6 days -including- getting opened by customs...)
best of luck, and please let us know when/if your order arrives,
scipio

