I think it depends on the relationship you have with the giver.  In my family, we are very close and honest.  When a relative gives me an article of clothing, for instance, they always include the gift receipt.  Then they say something like, "I know you said you like blue, so I thought this would be perfect for you!  I wasn't sure if you were a size 6 or a size 8, so if you need to exchange for the next size smaller, go ahead!" 

I wouldn't feel comfortable exchanging something that didn't come with a receipt, unless of course, it really didn't work out (getting a blu-ray disc when I have a player for HD discs only.)  In this case, it wouldn't be practical for me to keep it, since I can't use it.  The giver would WANT me to exchange for the same movie on a format I can use, so I would just mention that I could use the recieipt for an exchange, OR just go to any big box store that carried the title I had and do an exchange without the receipt. 

I'm in no way suggesting that people take their gifts for granted and exchange away everything for that ONE coveted gift.  But I can see how it may be uncomfortable or inappropriate to ask for a receipt.

Thanks for the comments!