I use couriers occasionally and in Phx, it certainly seems like they are hit and miss, and a bit fly by night. They change ownership often, they seem obnoxious and don't take your important things seriously.
But Mercury is really awesome. They are totally reasonably priced, with no odd "add on" fees. They always answer the phone, they call upon pickup and delivery, and can handle sensitive items.
They're the only ones I'll call.