The TL;dr version: I think it's OK to try to contact the person via any reasonable means. I think it's reasonable to do whatever it takes to get my email address out of the vendor's system. I think it's sort of reasonable to cancel the order. I don't think it's reasonable to try to have it delivered somewhere else, or do anything else that directly fucks with the vendor.
To my surprise, more people think it's OK to call the person on the phone than it is to send them snail mail. I would find the phone call much more invasive. Plus, by sending them snail mail they have a copy of the order confirmation... the one they would have gotten if they'd used the right address to begin with. Maybe it's just that I rarely use the phone anymore. Searching for them on Facebook fared worse than the others.
Trying to cancel the order and trying to reroute the order fared way better than I expected. For me, rerouting the order just seems wrong. Canceling it is more marginal. One more person thought it was OK to log into the site and cancel the order but didn't think that it was OK to reply to the email asking to cancel the order. I'm guessing this is just user confusion, though.
I posted the poll just as I was sealing two envelopes to take them to the post office. Each of them is a copy of the order, along with a letter that says, in effect, "Hi. You used [my address] to place this order, but that's my email address. Please don't do that again."
In the past, I've had very little luck canceling accounts or removing my email address from them, though I've certainly tried. Companies really just don't seem to be able to handle the case of someone else using your email address. (PayPal was the worst! I had a bullshit account with my address on it for nearly five years before someone finally figured out how to close it.)
In the current batch, one of the two orders was for a product that ... well, let's just say that I'm not a fan of said product. On a whim, I hit reply and said, "Please cancel this order, as I did not place it. Also, please remove [my address] from your contact database." I didn't expect it to work, but they quickly canceled the order. I still got marketing spam from them, though. :-(