Back in my college days I worked at Circuit City, and found out about this. The official retail term for this is "Brick-in-the-box Return."
Basically, someone buys a sealed product, carefully opens the box (usually from the bottom) takes out the product, refills the space the product consumed with some bricks that come close to matching the expected weight of the product, puts all of the packing material back in and then reseals the box.
The thief then returns the product, the person behind the counter sees that it is sealed, and then issues the refund. The product returns to the stockroom, and is then rediscovered by a legitmate customer. Often times, the thief pays in cash so there is no paper trail. This is often done during a busy time at the store, and to a younger employee working behind the counter.
The same thing can also happen on products that are out of warranty. If the 90 warranty on your DVD player is up, and the model is still available, you just go out, buy a new one, put the old one back in the box and return it with the "Yeah, I just didn't like this one, give me my money back." Unless the store tracks serial numbers when the item goes out, they have no idea.