I am going to a concert on 22nd June but have not received the tickets yet - but it is quite normal for Ticketmaster not to send tickets out until the week before the concert.
they offer a 'ticketfast' service here in Ireland - if available there, use it, it's great. You get emailed your tickets instantly and you just print them.
In my experience, ticketmaster send the tickets out in the ordinary post, not special delivery or anything, a window envelope so it is very obvious that they are tickets.
Same thing happened to my friend, I was lucky enough to get mine but his got stolen in the post and were reallocated at the desk at the venue.
When I got my tickets, they were clearly visible through the window! You couldn't see which concert they were for but it was very obvious by the colour and typeface that they were concert tickets!