It's happened at least one. Von's, in southern California: http://www.bendover.com/askbenquestion.asp?faq=3&fldAuto...
http://www.seattleweekly.com/1998-09-23/news/when-cards-come...
The loyalty cards can also backfire on supermarket chains. Safeway was sued for not notifying customers of product recalls even though it had the purchase data: http://www.progressivegrocer.com/top-stories/headlines/healt...