I've given that advice to friends and family members many times, and it can be a useful thing to do. I've been able to - among other things - walk on to the field at Fenway Park and Yankee Stadium, just by striding along, acting like I belonged there. (Not during games, of course, just during off-hours...still a thrill.)
It worked again a few weeks ago, when driving across Nebraska. I wanted to see the inside of the University of Nebraska's football stadium, and stopped in Lincoln to do so. People who asked the security guard if they could see the stadium were told that no tours were available. Instead of asking, I just walked over to an elevator like I was supposed to be there, punched a button and in just a couple minutes I was taking pictures of the stadium from the press box.
But nothing I've ever done has matched what Ryan Kraft accomplished. The Dayton, Ohio, resident is a lifelong Pittsburgh Penguins fan, and drove up to Detroit in June to watch Game 7 of the Stanley Cup Finals. After his Penguins won, he managed to get out on the ice simply by "acting like he was supposed to be there," and the reward was an incredible series of pictures, including this one of him holding the Stanley Cup in the Penguins' locker room.
It's a great story that you can read here, and the rest of his amazing photo gallery is here.
I really admire this guy! So remember, it's always easier to ask forgiveness than it is to ask permission.