Well, with Albania it was a bit of a pickle. Though I knew there would be no visa, since I've been there before with RTD, Turkish Airlines pulled up something on their computer and would not let me fly without a visa. Then upon me insisting, they called the immigration authorities at Mother Teresa airport in Tirana who said no, needs a visa. I walked away to think over what I was going to do. After two hours I went back to the counter, they said they called Tirana again who now supposedly said no you don't but need roundtrip ticket. I had a one way. However, needless to say by that point I was completely frustrated. Furthermore, they also refused to let me fly, even with a roudtrip since from Oslo I had to make a connection in Instambul and they said I could NOT stay in the transit area overnight. So i told them to write me a nice letter with the information, stamp it, took the letter, thanked them than told them to stick it, and went back in Oslo for a beautiful 12 hours of tourism and fun. The next morning took a flight to Rome, then the next day i had a roundtrip to Albania from Rome. At the passport control the guy saw my RTD, asked me about my last name, in Albanian, i answered in kind, he stamped, then wished me a happy stay. Upon return to Rome, exit check in Albania was puzzled a little, couldn't find the entry stamp, then I pointed to the last page of RTD. She stamped. Entering in Rome was a breeze, I had the visa, he asked me how long I intended to stay, I said I was flying out the next day. No need for proof, though I had the email confirmation ready, just in case. And I was off... Exiting Rome was a non issue as well, then entering US, as I described.
Yesterday I put in for a Thai visa, and I plan to fill up the pages as much as I can before it expires. Sadly though, the 6 month validity thing many embassies require might be a bit of an issue...