Amazon.co.uk and amazon.de that you mentioned (and some other foreign sites), though, always seem to use to-door services even in Finland. The most common one has been DHL Weltpaket Premium which Posti tries to deliver once by 14:00 (sig.req), after that it goes to post office for pickup. Of course I'm never home at that time.
Amazon.fi redirects to amazon.de nowadays, BTW, which has free shipping to Finland for 39€+ orders.
I like SmartPosti parcel boxes as well, especially how I can select the delivery target that most suits my route and schedule. I usually use one that's close to my work in a mall so I can do some groceries while getting my packages.
Mostly these days I tend to use verkkokauppa and similar "local" shops that can be collected from.
Cards, very small packets, and letters all get delivered Monday-Friday, but parcels? They leave a card and you have to take it to your local post-office to collect your item.
I'd visited Finland a lot prior to moving, but of course this is the kind of thing you don't realize until you've relocated "for real". In the past I used to do a lot of online ordering, but since moving I've cut down a lot just because collection of things is a real pain. (Of course it helps that there is no Amazon.fi, instead the choices seem to be Amazon.co.uk / Amazon.de.)