What do you mean not have the box?!? I have purchased many, many games from Gamelfy and they DO SEND YOU THE ORIGINAL BOX with manual. You have to pay for the shipping on them, but it's only like $2. It's great because Gamefly receives the games, gut out the discs for rental, and stores the original box. Then, they sell the game at a used price which is usually $15 off original, but the only thing used are the discs and you get the original box in excellent condition (mint). If you are not receiving your game boxes when you click keep it now, then something is seriously wrong.
P.S. As stated above and I believe in another forum...renting a game, copying it, then returning the game is illegal, it's called piracy, and is an abuse of the rental service.
~Jason