The only store of any kind I'm aware of around here that checks receipts every time is Sam's. A lot of places will have "less than friendly" staff by the exit, but explicit security is fairly rare in my experience.
I have a lot of fun with my local Fry's and their "security checks". In reality all I do is briskly walk past, and wish them good morning/day/evening. Most of the time this throws them enough for the moment. They seem to do the math that they're not paid enough to deal with my shit. But the few times it has been raised as an issue, I've always (of course) properly paid for my merchandise.
I know it's a bit immature, but as a result of those minor confrontations, it always gives me the jollies every time I stroll out with just a "Good evening!"
We don't have Fry's on this side of the country. Our Best Buys has toughs right by the door, but they've never stopped me (then again, can't remember the last time I've bought anything particularly expensive from them vs. Amazon...)
