The whole concept of online shopping gets greener as it grows - most people live driving distance away from the stores they regularly visit. The difference is between a tightly packed, highly route and fuel-optimized delivery system... or everyone's single-occupancy vehicle on the road zipping between strip malls.
It's wasteful if the UPS truck isn't being sufficiently utilized, it's downright awesome if it is.
So your point is that strip malls and car dependency are bad, right? But that doesn't mean that trucking a tube of toothpaste to my house is good.
FWIW, I cycle to the store, so until Amazon has a distribution hub in my town and cycle couriers for delivery, they're not going to be more fuel-efficient.
You need to consider the amount of fuel used to produce the calories you consume cycling, which may be more or less than UPS, depending on how much additional driving UPS has to do to deliver (it may be fairly small e.g., if they're already in your neighborhood for another delivery).
[Of course, cycling has health benefits too, but if we're just considering fuel...]
It's wasteful if the UPS truck isn't being sufficiently utilized, it's downright awesome if it is.