Denmark has something called “Døgnpost” (literally “around-the-clock-mail”), which is sort of an all-purpose postbox. When you order stuff online you can have them delivered to your local Døgnpost. As soon as your parcel arrives at the Døgnpost you receive 2 PIN codes via email or SMS, and when you ring in those codes at the Døgnpost automat, a small door will open and you can take your parcel. It's almost frustration free.

Here's an example of a Døgnpost automat: https://foursquare.com/v/d%C3%B8gnpost-2861/4d8b5d4bbc848cfa...