DHL Express is special in that for many countries they have Customs agents for the destination country actually on the planes, clearing the cargo as it's en route.
That's one way they're able to be so awesomely fast.
Yeah, I've found in the past when shipping shit that some companies really have their shit together when it comes to customs stuff and others don't. I've also found that sometimes it's better to take your stuff to the airport yourself so that you're there when your consignment gets scanned in than to have it picked up (because if it's picked up you have no control over when it gets processed and can't double check the paperwork and fix errors before it actually gets put on a plane).