Suspiciously door-to-door? Slap a newspaper bag over your shoulder like you're delivering fliers and go collect everyone's mail.
Quickly retrieve their mail? Most people are at work for hours before and after the mail is delivered.
I've lived in communities with both services. I prefer home delivery, because it's more convenient to me. But if you think it's easier to break into the super-boxes than it is to steal someone's home delivered mail, you're out of your mind. Luckily, community morals make either mostly a non-issue.