If you show up to retrieve your stolen property chances are 99 out of 100 times you'll get it handed back without much of a question. They are just as scared as you randomly showing up and tracking them down as you are of them. You are not acting the part, and your actions are dangerous and abnormal - even most predators pause in such situations, and most criminals are not predators but opportunists.
Most cases. Obviously it's not the safest thing in the world, and if you're not comfortable with confrontation I wouldn't recommend it.
I'm financially well off enough now where I'd likely let pretty much all my physical possessions walk without recourse (what will happen if you just report to police). It's not worth the risk:reward benefit any longer.
However there were times in my life where I absolutely took matters into my own hands and collected stolen property that was critical to my livelihood and too expensive to replace. It was surprisingly easy every time. There were times way in my past I would have defended certain property with my life if it came to it, since losing it was nearly the same thing.
Many will wring their hands over taking direct action, but I can speak from experience, the police and legal system don't give a damn about you or your possessions. I would absolutely be willing to risk it rather than go through the hassle of buying a new car right now.