I actually do this very often. Predominantly with FedEx Express Saver [3 day] or Fedex Ground and occasionally with UPS ground.

I'd say about 80% of the time I'm using this method to send packages home or to the office because I've made some purchases and/or I'm continuing on to another destination and want to lighten the load of items I no longer need or dirty clothes.

The other 20% obviously is that I ship a package before my departure so it can meet me at my destination/hotel. As mentioned by others, be very clear on the label about your name and the date you're arriving. Some hotels also charge you for receiving and holding packages.

As far as the cost for shipping in concerned, it can get expensive, but I've been doing this for at least the past 7 years or more, so the cost must not outweigh the convenience for me [and I get a corporate rate on packages].