Mystery shopping is a risky business. You are always entering into situations where your cover could be blown, and if it is, then you've got to leave the store and contact your client to tell them you were unable to complete the shop. Although blowing one's cover is something that probably happens to every mystery shopper once during a long career, it's easier than someone might think to keep one's identity a secret.
The first step to being a great mystery shopper is not to act like anyone special. Wear completely ordinary clothes and act just as you would if you weren't mystery shopping. Mystery Shop Maven offered the example for a retail environment. In a situation like that, if your job is to try on clothes, then don't choose the first thing you see - shop around and find something you really want to wear and examine, and then choose that. This is far less suspicious than going to a rack and taking something immediately from the front.
Good mystery shoppers have a way of forgetting they are mystery shopping in the first place. They have come somewhere to shop like anyone else, and the note-taking and timing are just secondary. Try to compartmentalize your thinking, so that any thoughts of mystery shopping are happening as if in some other place. This way you'll avoid a strange, suspicious look of purposefulness. Your expression should be truly neutral, or at most vaguely curious, like a real shopper would be. In order to bring this about, you have to genuinely feel curious about the items in a store. Most of the muscles in your face are controlled through involuntary mechanisms having to do with your emotions. Thus, you may be signaling your mystery shopping without knowing it. Controlling your feelings has to be intuitive, and likely will come through practice.
Follow rather than lead conversations
Mystery Shopper Magazine offers a good tip when it comes to the actual business of mystery shopping. During conversations with people in a store, remember that you're just an ordinary shopper, so don't lead conversations. This can seem very suspicious because people rarely do this on a regular shopping trip. If you really need someone to give you specific advice, and you don't know how to get this advice without asking for it directly, then find a way to ask for it without seeming to do so with any purpose in mind. If you need to find out how someone would react if you need to find something from the back of the store, then just walk over and ask someone if the store has an extra item in another size. If the sales clerk doesn't take this as an invitation to go to the back of the store, then it may be worthwhile to include this fact in your notes. Don't go out of your way to say anything suspicious if you can help it.
Additionally, just like a real private detective, you should never ask leading questions. Doing so will mark you as unusual or memorable, and it will taint the results of your investigations.
Find good hiding places for your stuff
Mystery shoppers carry a lot of items with them - timing devices and notebooks. Try to keep as much of this in a concealed place on your person as possible. The best-case scenario is to use your smartphone. Smartphones have many apps for timing events , as well as easy methods for taking notes. Remember not to take notes in front of anyone, but don't look around and then walk somewhere in concealment to take notes, either. Know when doing something in plain sight is less suspicious than slinking off into the shadows, and do whatever is appropriate to a situation. If you're mystery shopping a bar, it may be easy enough to open a text with a friend and text that person comments on the bar while you're sitting with your drink - no one is going to carefully read what you type into your phone. Just don't have it out where anyone can see it.