Here's another one that burns me: those 'anti-theft' RC tags that stores put on movies and CDs (even though the manufacturers already add them internally), clothing, condoms, razor blades, and damn near anything high theft. The equipment is always shitty; the cashier can damn near beat the thing to death over the deactivating pad and it still trips the alarm on the way out. Then you get the store security person coming over wanting to see your receipt while you wait, which is kind of stupid, because the people who are actually stealing beat it the hell out the door already, probably already moving fast before they even got to the sensors.
I gotta tell ya, and this is speaking as someone who used to do store security, if I hear an alarm go off as I'm leaving the store, I just keep walking. Fuck 'em.