Some stores do, but it's not usual.
It's not really that hard to steal from a grocery store, but in general people are honest.
http://www.thelegality.com/2008/03/12/stop-that-paying-custo...
http://legallad.quickanddirtytips.com/store-security-and-you...
Costco and SamsClub don't give you bags, so that would be my guess on why they check it.
I've lived in the US for many years and besides those stores I've never had to show a receipt (that I can remember).
Sorry, still sore about that repackaged and bricked WRT54g.. If anyone's going to brick things, it'll be ME! :)