Thus far I have gone to Europe only on Canadian carriers, so I only use my Canadian passport.

However, I'm thinking of going to Europe or Asia on a cheaper US carrier. The hitch is since I have dual citizenship, I think I have to use both my US and Canadian passport. (BTW, I haven't obtained a US passport yet, but probably should.) How does this work in real life? Does anyone regularly use one passport on the outbound and one passport on the inbound? Doesn't that mess up any departure controls that might be in place? Are you more likely to be subjected to security screenings?