Here's the problem with just selling your gun without going through the proper channels...
If the gun ends up getting stolen or otherwise used in a crime, it may end up getting traced back to you. While I'm not implying that YOU are going to go down for the crime; I am saying that you may then be prosecuted for failing to follow the proper channels when selling the gun. As the CYOA guy that I am, I wouldn't take that chance just because I was too lazy to take the proper route, or I simply have angst for the legal process.
You CAN ship guns... even through the USPS. However, if you ship over state borders, the receiving end must be a FFL holder (and there are federal documents that allow you to ship to police departments directly). You just have to ask the postal office how to do it the right way.
There's no way to answer this poster's dilemma without knowing which state he lives in.