I've seen a shoplifter (also in SF, Safeway) take it to the next level, repeatedly yelling, "I'm pregnant! The guards are killing me and my baby!". None of which appeared to be the case, and security was as nervous as you might imagine.
This kind of stuff happens a lot at Safeways in SF (also Starbucks and CVS, but mostly Safeway it seems). Other times you'll just see someone running out the door, guards look into the distance for a moment and that's that.
My wife calls them Unsafeway, heh.