I feel the same as you, but give this issue some thought, it's opened my eyes to a possible big problem for any of us, especially with the way some people act today.
Lets say you inserted your card and the pump LCD reads "begin pumping" and you do so. Say a kwerk takes place in the system and never registers with the credit card company, you finish pumping, don't ask for a receipt and then drive off.
You and I both know, that we have better things in life then to steal gas, right? Well, the people who run the Gas Station probably don't know either of us from whoot, and in the course of doing business and having to deal with all kinds of jerks; when someone drives off and it doesn't register inside and they don't pay, they call the police.
Now, whether innocent or not, we'll have to answer for that indescression one way or another. I would rather have a receipt and prove them wrong, then have to go through a situation like that, that could get real messy.
I always ask for receipts, I'm going to watch this a lot closer. It's the people you have to deal with that can make a mountain out and ant hill that concerns me.