It probably depends on the country and particularly your length of stay.
Many countries require tourists (and rules might be even stricter for other types of visit) to have a solid reason to go back to their home country. And the main reason is a job. The more secure job, the higher social status you have at home, the better chances you have to get in a country without troubles. Another important point is to be able to sustain your living costs, so being able to show proofs of savings is also important.
Usually the chances to be denied will be higher when applying for a visa, not when crossing a border. But saying "unemployed" sounds like a bad signal to me. Immigration agents want to make sure you are not going to work in the country you are supposed to visit. In a world where people are defined by their occupation, coming as "unemployed" can easily sound as "searching for a job". Whatever the official reason for your visit, the immigration agent will likely react if you have no job.
In my personal experience, I always answer what my occupation is supposed to be, and I answer vaguely. The question is usually not what my job at the time is but what job I do (in my career). I was once entering Canada for a long stay (I did not need a visa) after a first long stay. Even though I quit my job for that trip, I said my expected occupation. The immigration agent started raising eyebrows because of a previous long stay and I was gone for a longer interview. I could convince the agent that I had enough resources to sustain my living and that I didn't search a job in Canada, but I would not recommend this situation.
If you just want to keep your job secret (and you DO/did have a job), be evasive about it. Use terms like "manager", "businessman", "engineer", "agent", "civil servant", ...
As for luggage, during my experience it was thoroughly searched but I don't think they were searching for something specific - maybe a printed resume - I took it more as a way to annoy me.
The risks you take with lying depend on each country's laws, but I would not do it. Many countries can ban you from entering the country or detain a foreigner without explanation.
UPDATE: Apparently a lot of people interpret being evasive as lying. While not everyone has job at a time t when travelling into a country, not having any occupation at all in one's life is much less common. You might travel for a living but you probably do not just spend your time going from one place to another without objectives. Maybe you write, maybe you take photograph. Maybe your trip is a break in a career... I do not mean to push people to make up a fake evasive job, I mean that everyone has an activity (making money or not). Be honest about what you do, but saying you are a "beginning self-employed travel writer after a career change" will not get you in the country, while answering you are a "manager" (if that's actually your past job) and adding (only if asked) that you are on a sabbatical (no one needs to know you are trying a new unstable career at that specific moment) is probably good enough.