That is a major bummer... However with something like that, if you call and they investigate, there's still a chance they can find it. It's more likely that yours is still in transit, and just not scanned somewhere, or sent around in error. I've seen that with packages I've sent. It'll likely show up, even late.
I know how you feel though, because what's more of a bummer than even losing a package is when it's a limited piece, a rare piece, or something that just isn't really about the money. The orange SnG...that one hurts, and I'm really crossing my fingers for you on that one sir. The Blur sucks to lose, primarily because it's a limited run, so I feel for you on the SnG. Luckily, it's still just in transit. I'm sure your SnG will show.
In my case, it was scanned by my normal carrier's "holiday helper", and now it's just gone. I've spoken to her several times, and she's asked me about it. She asked the carrier who scanned it, he insists he doesn't know what she or I are talking about. The carrier supervisor can't give me any information on the carrier who scanned it, so it's essentially gone.