I've wondered about this for a while, so I looked it up. The Internet (always a trustworthy source, I know...) seems to disagree with you - or at the very most think it's a grey area, leaning towards that they're allowed:

http://www.thelegality.com/2008/03/12/stop-that-paying-custo...

http://legallad.quickanddirtytips.com/store-security-and-you...

Well I certainly didn't say that they can't ask you to look at your bags. As long as the search is voluntary, they can ask pretty much whatever they like. But you can surely say "no" and then leave. If they physically block you from leaving, they are violating the law in many jurisdictions (they're trying to make a citizen's arrest, which you can't just do without any reason, and refusing to let them look in your bag isn't a reason). If they actually touch you, then you may even have claim of assault. From what I can tell, this has not actually been tested directly, but it is a reasonable expectation of how things would play out, if you took it all the way to court.

On the other hand, the store is also perfectly within their rights to ban you from the premises once you've left. So even if they can't arrest you, they can certainly put a picture up that says "Don't let this guy in the store." It is private property, after all.

The main case mentioned in the thelegality.com article you linked ended with Righi settling with the police so that they dropped the charges in exchange for him giving up the right to sue. Given the balance of resources and power between an individual and a police department, I think that's pretty good evidence that the police department themselves didn't think they were going to win that battle.

The Legal Lad article, on the other hand, seems to just wring its hands about various scenarios without addressing the question everyone cares about: You walk out of a Best Buy, nobody has any reason to believe you stole anything, and when they ask to check your bags, you say "no thanks" and walk out.