An employee of FedEx tried to ship a gun undeclared, it was wither picked up by an x-ray machine or a a dog. He was terminated by FedEx and fined and charges were pressed by the ATF. I don't know any more than that. He may have tried to ship it in a state that didn't allow the particular gun or for trafficking firearms, again I am not sure.
Not worth the risk to me. However, FedEx and UPS are some of the biggest drug traffickers in the US due to the chances of them not catching all of the packages shipped in a short amount of time. Some wild stuff gets through these companies.