I've had one rental shipment, which contained 10 discs, from XRent lost. They immediately created a replacement order for me. About a month later, the original shipment arrived at my house.
I've had the same thing happen with Blockbuster Online, but the disc only arrived a week late. Right before Christmas, a second Blockbuster Online disc failed to arrive. It still hasn't arrived.
I would think that both Blockbuster and Netflix have a bigger problem with this sort of thing than XRent does, because their envelope makes it pretty obvious that there is a DVD inside. Therefore, those shipments would be more prone to theft than an XRent shipment (or return), because there is no indication of the contents of the package.

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