My stupid cocker spaniel girl gets into trash or food left on the counter too frequently. I don't think she's been caught in the act yet, but she knows it's wrong and will act very sad/scared when she realizes we've figured out what she's done. We tried training her as a puppy, but she is just too goofy and kind of dumb. But she's my favorite dog, so sweet and loyal.
I can't think of anything our other pets (one other dog, 2 cats) have done.. Recently our young male cat got on the counter and started eating a bowl of chips. It was just funny. No one really tried to stop him, as we didn't care about eating the chips.
Our female cat used to get up on the roof and meow at the top floor windows in the middle of the night to be let in.
Oh yeah, my least favorite pet, our older male dog, is extremely neurotic and freaked out by stupid stuff. He doesn't like to be alone. The dogs aren't allowed in the basement, but we'll catch him down there sometimes when we come home, or I will when I wake up (my room is down there). He never seems ashamed though, just wags his tail and goes right upstairs when he's been caught. Idiot.