I've heard several nightmarish stories about Citylink but personally I've never had a problem with them.
At work, we process payments for people sending money overseas electronically, and get around half our work delivered to us from the branches via a courier (some 1000 incredibly confidential payments a day, some of which can be in the millions of pounds). We switched to TNT a year or so ago, and in the three weeks until we told them where to stick their courier service, they either didn't turn up at all or lost a bag on 5 seperate occasions. In three weeks.