I have. It was about 10 years ago, and I happened to have a bunch of collector ammo with me (Remember, back then it was OK for us to buy ammo down there)
They gave me the run-around, saying that I could not buy and export ammo, but I knew I was right. Eventually, they let me and my ammo go, saying taht becuase it was individual rounds of all different calibres, they would do me a favour. When I got home, I started phoning around, just ot make sure I was in the right. I got the relavant law quotes, etc. and next time I was down, I dropped into the US customs, and spoke to the supervisor. He said he would bring it to the attention of the guys that pulled me over originally.
He also said that, Yes, the US Customs does have the right to do exit checks, and do so occasionally.
I have heard of others being stopped in exit checks also. Very rare, but it does happen. Recently, I saw them being conducted when I drove down, but by the time I returned north, they had stopped.