The only time I have ever been stopped and asked by an 'authority' was on a caching trip in Graham County Arizona. I was parked on the side of the road checking the information on my PDA and verifying with my GPS... when a County Sherrif's Deputy stopped next to me. He asked what I was doing, and I showed him what I was looking at, and explained geocaching. He's response was heartwarming... he said he would go check it out. He had just bought a GPSr and was wondering what else he could do with it.
His initial concern was that I was in an area where the local criminals liked to dump stolen property (stripped cars).
Log for the find...
http://www.geocaching.com/seek/cache_details.aspx?ID=47662
of course there are also any caches I do with my team mate.