Plenty of times, comes with the territory.
I think the best time was having 4 of the Mets finest watching me ascend a rope out of one of Powergens nice new service tunnels in London. They didn't even search us, just let me clear the kit up and leave via the front gate. To say I was amazed was an understatement! I think they were more bemused as to exactly what we were doing there in the first place.