If you're an avid fan of Sherlock, Murder She Wrote, true crime, or really any famous capers, than it's likely you've daydreamed about the fascinating cases you'd solve as a real life detective.
While a lot of private investigative work centers around affairs and interpersonal surveillance that can be wrapped up using the internet, there are still plenty of on-the-job stories that could merit their own movie scripts.
I've been a P.I. for about 3 years - mostly for disability fraud, no cheating wives or anything. Coolest/strangest thing I observed was a low level criminal (who was supposed to be disabled), who would spend all day going from Walmart to Walmart.
In each Walmart, he would fill the shopping cart full to the brim with energy drinks (Monster I think), walk briskly out the door without paying, throw them in his trunk, and take off like a bat out of hell.