I've placed 2 orders from amazon and checked tracking number and it still says that the item has been picked up since yesterday! is there any chance for amazon to ship via FedEx instead of DHL ? DHL sux :( specially their custom

I assume that's an international order and you have chosen the Priority Courier option. They don't ship packages within the US via DHL.
If this is the case I guess there's no way telling them to ship via Fedex instead.
The thing with your tracking info is normal, since DHL does not work on weekends. However, if your package should really arrive late, ask Amazon for a shipping refund, they're great at that.
Customs is the same with every express carrier, no matter if Fedex, DHL or UPS. If you don't want to pay customs, use the standard shipping and order only one disc per shipment.