I ordered a piece of software from MacMall (no link, obviously, since they're here for crappy customer service). I got an e-mail that it had shipped, uncluding the "tracking number", this huge thirty-digit thing that bore no resemblance to a tracking number for any shipper I'd ever used. I cautiously fed it into all the major companies' tracking systems, all of which replied "Sorry, that's the most screwed up looking thing we've ever seen, and it's certainly not a tracking # for one of our shipments" (well, more or less anyway grin)
So I decided to give them a call, and asked innocently "do you have the tracking number for that package?"
CSR: "No sir."
DB: "It's coming FedEx, right?"
CSR: "Yes, sir."
DB: "And you don't have a tracking number for a company that doesn't offer shipment WITHOUT a tracking number?"
CSR: "Sorry, sir, we don't give out tracking numbers."
DB: "What do you mean you don't give them out?"
CSR: "We're not allowed, it's company policy."
DB: "But you did give me a number, it's on my order confirmation on the web site, I just can't make heads or tails of it."
CSR: "Sorry, sir."
... thus ensuring that I won't be ordering from MacMall ever again. If you've got the fscking number, you should let me track my own package, damn it.

I recently bought a wireless router from them (well, PC Mall) and I didn't get a tracking number. However, it was fast enough that it really didn't matter. However, why in the world would they get a tracking number, but be unwilling to share it?