I once had an itinerary of MIA - BOG on AA and BOG -- EWR on CO, all with E-Tickets.

The Columbian consulate looked at my itinerary and receipts and issued me a business visa.

However, AA would not issue a boarding pass in MIA, stating that "I had no proof of a return ticket, so was ineligible to enter Columbia." The CO E-Ticket receipt was worthless since the AA agent said, "they're not on the same system as us, so I cannot verify it." I had both AMEX and CO agents plead my case on the phone, but the AA agent was unmoved. Finally, I had to sprint several concourses over to CO to have a a paper ticket printed. Then I ran directly for the gate and was issued a boarding pass, without anyone checking this time for "proof of return."

Later I learned that this E-Ticket misadventure had already occurred to many International travelers. I hadn't done my homework.