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...
On the other hand, the store is also perfectly within their rights to ban you from the premises once you've left. So even if they can't arrest you, they can certainly put a picture up that says "Don't let this guy in the store." It is private property, after all.
The main case mentioned in the thelegality.com article you linked ended with Righi settling with the police so that they dropped the charges in exchange for him giving up the right to sue. Given the balance of resources and power between an individual and a police department, I think that's pretty good evidence that the police department themselves didn't think they were going to win that battle.
The Legal Lad article, on the other hand, seems to just wring its hands about various scenarios without addressing the question everyone cares about: You walk out of a Best Buy, nobody has any reason to believe you stole anything, and when they ask to check your bags, you say "no thanks" and walk out.
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! :)
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!"