I take the train often from Chiasso (Ticino) to Milan and my passport (I show my UK passport as opposed to Swiss) is 90% of the time is checked by Italian customs before I board the train.
I often have my suit case searched (totally emptied out) as well by the Italian customs and even had documents read where they have found documents of withdrawls of cash (often CHF 100,000 - not my money most of the time unfortunately) from Swiss banks and they have questioned me where the money is as you can only carry Euros 10,000 into the EC countries (I don't understand the purpose or agree with this rule).

I also notice that when the International train arrives into Chiasso from Lugano or Milan, customs bored the train and passports are again 90% of the time checked.