You must have a really unique situation, or maybe things are really weird in Canada.
Where I am, I live in a small town about an hour from a major metro area. The only shopping where I am is a super-Walmart. If I want to buy anything that Walmart doesn't sell, it's a minimum 30-minute drive to the nearest commercial district, and that's over a bridge that I have to pay $4.50 to go back home on. In the other direction (no bridge, no tolls), it's a minimum 40 minutes to that town, and the traffic there is terrible so it's a minimum 50 minutes to the shopping district. Both these districts just have the basic retail chain stores that every such place in the US has (except for hh Gregg which was in both locations, but just went out of business).
So, for me to get anything "locally" means a minimum of 1.5 hours in driving and running around.
You seem to have some weird problems with shipping. For me, I order stuff and if I'm not home, they leave it on my doorstep. There's no theft here that I've ever heard of. As for your "huge hassle", it sounds like you have some really serious problems with your postal service there. Over here, the USPS works great, and Fedex/UPS work fine too for the most part. The only time I've heard of people having to go to some other town to pick something up is when they live in an extremely rural area where there's no residential delivery.
Now, for an alternate view, I also have a girlfriend who lives in the metro area, about 1 hour away from me. She lives in a big high-rise condo, and is less than 2 miles from a quaint "old town" area with local shops, plus lots of typical big-box shops in other directions. This is one of the largest metro areas in the US (I'm guessing #5-7 by population), so there's certainly no shortage of shopping. Shipping is easy for her too: the staff at the front desk takes packages for the building residents. But they take a LOT of packages (many are frequently piled up in the front lobby when I visit; I even saw a mattress there one day); people in that building buy a LOT of stuff online. Why? Simple: time. Even though she's in the city, driving to some random place, even on that side of the metro area, is still a good 20 minutes in my experience, if not more, because of traffic and having to stop at so many red lights. You're not going to be able to get anything without spending at least an hour of your time driving there, dealing with parking, picking it out (assuming they even have it), and driving back. Why waste all that time when you can just get it with a few clicks and pick it up in a couple days when you come home?