I usually start up a subscription when there's a lot of games out that I want to play. I've experienced that there's up to a week turnaround time. They just don't carry enough copies of the hot new releases to keep the wait time manageable.
I've cycled through them about 3 or 4 times now, and I've only canceled it once because there were just no more games out I wanted to play, all the other times it just took too long to get a game. I shouldn't have to wait more than 4 days for a new game. They say in their press materials that the game gets scanned at the post office and they ship out a new game as soon as it's scanned not when it's received at their warehouse. I've never seen it happen that fast.