I've seen people toss items such as coil packs over the fence, presumably to retrieve them later. They are something like $50 each I think so that adds up fast when they steal six or eight of them.
At another yard, a guy was spotted on the way out of the building with a giant wet spot on his pants. Huge! Like six inches across, stinking of gasoline. The employees made him empty his pockets... They were stuffed with fuel injectors!
Ironically, most of the stuff I get at the junkyards is minor interior trim pieces, or occasionally little brackets or fasteners that have gone missing or broken under the hood. Cheap stuff, usually. Fieros have a weatherstripping piece on the rear hood that is often missing, for example, and I always grab them when I see them. More often than not, they let me have most of the stuff for free. It pays to be honest.