If the cost of copter + payload is low enough, there is little incentive to steal. It should be similar to shopping cart theft or most probably less. The system can be built to go up, travel horizontally above the reach of most people, and then drop down at destination.

You could buy a perch like they show here: http://www.youtube.com/watch?v=E7X0_6o9J10&feature=playe... - the perch has a GUID, knows its GPS location, and carries insurance. When you order from any vendor, you just give them your perch ID along with your credit card. If the order is lost before it reaches your perch, it's the vendor's problem. Once the copter touches down on your perch (and informs the vendor of the safe delivery), you press 'Go Home' to launch it back. If it doesn't reach the vendor, your perch insurance takes over. Too many lost copters in your neighborhood and vendors will be able to deny service based on risk.

I think if the copters are no louder than a car pulling up the driveway, this can work very well.

I actually thought about stealing the delivered goods not the copter itself :)

"Warning: This tacocopter's location has been dispatched to the local police department!"

Maybe even spray a canister of that bank robbery dye (probably a bad idea)

In the case of skyscrapers, I'd think pneumatic systems would be more appropriate. Since it's a highly controlled environment anyway.

Fly. It works very well for birds.