In Europe, at least, the VAT refund system seems to work better in theory than in practice. (And I bet I know the source of jginnyc's problem -- see below.)

Saying that, I have been successful most times getting a refund when flying out of CDG after shopping trips to Paris. When packing, I put all the tax-refund stuff I've bought in one place in one suitcase. At the airport, I find the "détaxe" office, get the paperwork stamped, stick the envelope in the mail box, then go check in. Within a week or two, a credit shows up on my credit card.

At AMS, though, I have been unsuccessful. I'd bought a good deal of stuff, and it was in one of two suitcases (both too large for carry-ons). I was flying BA to Boston (AMS-LHR-BOS). When I got to the tax refund office, the agent would not stamp my paperwork because Holland was not my last EU country before flying home, even though I would only be in LHR for an hour to change planes! I was in a Catch-22: I would have no access to my luggage in LHR (the bags would need to be checked through to BOS -- no time to collect the bags, find the tax refund in LHR, then re-check bags).

As for jginnyc, I suspect that s/he misunderstood the "no stamp" statement. The envelope in which you place the paperwork does not need a [postage] stamp if you mail it in the EU. However, the tax refund paperwork does need a [customs] stamp to be processed.