I have all shipments delivered to work. I've had a case of sake, some odd looking shoes, panniers, fenders, some slightly less odd looking shoes, a God, The Devil, and Bob DVD...
I'm thinking about buying a bike trailer and having it shipped to work. I'd probably just haul it to my office and let it sit till quitting time. I'd then take the phone off the hook, build up the trailer, hitch it to the bike and ride home. I can't imagine there'd be any issue. I'd be a little hesitant of going any larger than that though. I'd have a whole bike shipped to a friend's house. I don't like UPS leaving stuff in front of my apartment while I'm at work.