Also wouldn't the 360 probably not work in the U.S. (different power supply, different region for games/dvd's etc).
I woud personally be rather suspicious about it, as they aren't exactly in massively short supply now, and I can't really think of any reason a UK/European version would be prefered over a U.S. one.
Call me cynical.
Anyway, to keep on topic, I would suggest something like UPS, Fed-Ex or DHL with full tracking, enough insurance to cover the cost of the goods, and well packaged.