It depends on what kind of mood I'm in - sometimes yes, sometimes no. Generally I'm not interested in submitting to a search of my property so the store can feel a little more secure ... particularly when the bag-search nazi is 10ft from the register, ala Best Buy.
A friend and I actually got "banned" from our local Best Buy for refusing the search...it went something like this:
Bag-search Nazi: Thank you for shopping at Best Buy, can I check your reciept?
Friend:
Nazi: Sir, I have to check your reciept
Friend: No you don't, I just purchased this at the register.
Nazi: Stop, You HAVE to show me your receipt!
Friend: No I don't.
Nazi: Well then, you can't come back here, you're not allowed back in the store!!!
Friend: OK, see ya.
Me: Oh dear jebus, NO!
Just to be a total bastard, my friend emailed Best Buy. Their customer service emailed back... They apologized profusely, said he was more than welcome to come back, gave him a $5 gift cert and told him it was not their policy to ban people from the store but it was their policy to check receipts. Then, the manager of that particular store emailed and apologized further and said the employee was not following Best Buy policy and had now been trained better so this would not happen again.
Fry's bag-checkers never seem to care, but I once got called a "tough guy" because I just walked past them without a word...I had just had a pleasant Fry's check-out experience lasting about 15 minutes at the counter, and really wasn't in the mood.