Vasopressin is active intranasally, and I think oxytocin might be as well.
However other peptide/protein drugs like human growth hormone and bremelanotide have to be injected, so its a bit unreliable, probably depends on molecular weight and other factors like how easily metabolised it is (some polypeptides are tougher than others I'm sure).
I'm pretty sure none of them are active sublingually, and I've never heard of anyone trying rectal administration...
Also the South American frog species known as "sapo", Phyllomedusa bicolour, produces opioid agonist peptides in its skin, and the traditional method of taking them is to burn yourself and then rub the frogslime into the burn. So people have managed to administer peptide drugs without needles, its just a bit more difficult.