I was given a rough treatement at Perth in Australia on mileage run. I was on a AONE4 RTW so all travel was in F and that did help a little. I simply said I thought I'd spend 2 days visiting Australia and flying over it to get a "feel" for the place while also collecting miles. The fact that it was First Class ticket made them suspicious as to why I would care about miles (they don't understand RTWs :-) ). In the end they accepted it but only after a thorough check of all bags (no checkin, simply a small carryon). I did get asked if I know any terrorists or drug users!
I also got questioned at DBX while in transit (the routing was sub-optimal and the agents raised questions). I have family in Canada, so I always get away with MRs to Canada (just stopping for a few hours to see family members). US customs does do a cursory check if the itinerary is a very long complicated MR.
Friends with Indian or other developing country passports did have problems here and there (DXB, LHR, SYD, etc.). HKG, SIN, BKK, MEX and ZRH were most friendly to the Indian passport holders on MRs. My advice is to avoid checking out but try connecting flts that allow you to be entirely in the transit areas (as in NRT, SIN, HKG, etc.)