Now they have "Hold for Pickup" and they'll hold it for 5 days. I've never used it though. In the past I had to wait for them to try to deliver it for 3 days then they would hold it at the depot and I could pick it up. Like a lot of people, I'm at work during the day, so there was no possible way for me to be at home for deliveries.
Once UPS actually let me intercept a package at a distribution hub in Massachusetts. I was pretty surprised they allowed it. (it was post-9/11) I waited around until it got scanned coming off a truck, and they gave it to me right there.