Retailers will do just about anything to force you into using the PIN instead of a credit card type transaction, because credit cards cost them money and PIN/Debit transactions don't. So you have to say it's credit, punch the credit button, decline to use your pin, and then tell the checker again that's credit. Or they just automatically present you with the PIN entry screen with no other options.
So, what happens when you use your PIN? Usually nothing, because supermarkets and other big retailers are secure environments. But if you use one of those rollaway ATM droids, or the ATM at some nightclub, not so good. And if you go to a gas station that only takes PIN transactions, like the ARCO here, you might just get royally and electronically screwed.