That would partially defeat the economy of scale they have going for them. I don't know exactly how GameFly does it, but generally a shipping center is basically a great big warehouse. Workers don't go get one game at a time for each order. They get an organized list based on a hundred different orders to minimize the amount of wandering around the aisles they have to do. So if you walked in and asked for a particular game, somebody would have to go find it for you right then rather than waiting for the opportunity to grab it on an efficient route through the warehouse. This would slow everything down, and time is money. I'm sure GameFly's on a razor thin margin as it is. They'd also need to build and maintain a customer service desk and hire more people to work at it.
It might be beneficial if they allowed you to just drop off, since that would credit you for the return faster and get your next one sent out that much sooner, but it wouldn't save GameFly any money since they already paid the postage for you to mail it back. They'd still have to build a drop off point for you, too.