I still don't have my credit card

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From the other discussion you know that I had a hard time getting a credit card, but finally Capital One is giving me one. I had applied to them years ago and they refused me now they accepted me. First I was called by them to verify my address and answer a few questions that was back in March. I was told I would be getting a welcome package in about a week. I got a package telling me I was approved, but I had to go through the security check. I had to take this paper they gave me to the post office show identification and have them stamp it and send on to Capital One. I did that. Then I get my pin number which I need to activate my account but no credit card. I called them up and told them that and they said the card was mailed on April 27. Last week I got the annual fee charged to this card I don't even have it yet. I called them again and they said the cards were sent back. Apparently the address was wrong, yet everything else from Capital One came but the card. It is so crazy, so the people at Capital One changed my address and I am waiting for the card to come yet again. Anybody else have any credit card horror stories?