I've been a P.I. for about 3 years - mostly for disability fraud, no cheating wives or anything. Coolest/strangest thing I observed was a low level criminal (who was supposed to be disabled), who would spend all day going from Walmart to Walmart.
In each Walmart, he would fill the shopping cart full to the brim with energy drinks (Monster I think), walk briskly out the door without paying, throw them in his trunk, and take off like a bat out of hell.
At the end of the day he sold a trunk-load of energy drinks to a corner store and I video taped him walking out with a wad of cash.
Definitely not as exciting as the movies, but it was a fun day for me.