How do those security tags on clothes in stores work?

[P-Kasso2]

I presume the tags on expensive bottles of booze in supermarkets work in the same way too. How do those tags work?

How come an ear-splitting electronic wail is set off if you try to dodge out without paying for a tagged item?

(Oh, and an idle second thought...Is there an easy way to smuggle a tagged item out without setting off the alarms?)

[tecspec]

They are mostly magnetic.  The ones on clothing are two piece and a pin is inserted through an inconspicuous part of the clothing and attached to a back plate.
Ones on bottles can be placed over the neck or corded to a disc.
There are also flat tags that attach to smaller items. These are either rubbed over a magnetic pad near the till or bent to break the connection inside.

NOTHING will stop the alarm going off if you exit the shop. 
At the store where i work they've tried foil, those new foil lined cool bags all to no avail.
Mind you we do have thieves that come in armed with wire cutters to get the cable off bottles, take the item out of the packaging or bring in an accomplice. The accomplice picks up an item with the excuse that they want to see the clothing in daylight triggering the alarm. The other one then pushes through.

It costs retailers millions every year and this cost goes on your shopping.

As an example the supermarket I work in recently had a stock take and was just over £30k short. That's at a store that's reasonable in size (not a co-op or local shop but a smaller version of a big 4) . Just imagine what a superstore supermarket looses every year!

[P-Kasso2]

Thanks for the excellent answer Tec. There goes my new career!