Is someone who writes their job as "unemployed" on an immigration card and customs application more likely to be delayed or denied entry?

Or if I write a fake job title and the lie is detected, does this possibly lead to any tiresome result or worse, crime or put on jail, depending on the country?

Keeping people in jail is very expensive: they have to feed you and guard you and build more jails because you're taking up space they could put a murderer in, and stuff like that. So, depending of course on what country you're in, immigration offences are more likely to get you put on the next flight home, at your own expense.

In many cases (e.g., the USA), being caught lying on an immigration form is enough to get you thrown out. That, for example, is why they ask if you're a spy. Convicting you of espionage in a court would take a lot of effort and has a high burden of proof. However, if you're caught spying, then any immigration officer will be satisfied that you lied about being a spy, so your entry clearance is revoked, you're in the country illegally and you get thrown out.

Now, you could say that being caught spying is rather different from being caught not-being-a-circus-clown-when-you-said-you-were-one. And you'd be right. However, many of the questions the immigration officer asks you when you try to enter the country are asked as much to see your reaction as to obtain literal information. When I say that I'm a university researcher, we usually have a little chat about what I research, during which confuse me for a professor or a grad student. They don't care what I research; they care that I can talk about it in a way that sounds like I'm telling the truth. If I claim to be a circus clown and seem nervous and vague when they ask me about it and really relieved when they stop asking me about it, they might start to suspect that I'm not what I said I was.

Long story short: don't lie to immigration officers – it has greater potential to make things worse than to make them better.

It probably depends on the country and particularly your length of stay.

Many countries require tourists (and rules might be even stricter for other types of visit) to have a solid reason to go back to their home country. And the main reason is a job. The more secure job, the higher social status you have at home, the better chances you have to get in a country without troubles. Another important point is to be able to sustain your living costs, so being able to show proofs of savings is also important.

Usually the chances to be denied will be higher when applying for a visa, not when crossing a border. But saying "unemployed" sounds like a bad signal to me. Immigration agents want to make sure you are not going to work in the country you are supposed to visit. In a world where people are defined by their occupation, coming as "unemployed" can easily sound as "searching for a job". Whatever the official reason for your visit, the immigration agent will likely react if you have no job.

In my personal experience, I always answer what my occupation is supposed to be, and I answer vaguely. The question is usually not what my job at the time is but what job I do (in my career). I was once entering Canada for a long stay (I did not need a visa) after a first long stay. Even though I quit my job for that trip, I said my expected occupation. The immigration agent started raising eyebrows because of a previous long stay and I was gone for a longer interview. I could convince the agent that I had enough resources to sustain my living and that I didn't search a job in Canada, but I would not recommend this situation.

If you just want to keep your job secret (and you DO/did have a job), be evasive about it. Use terms like "manager", "businessman", "engineer", "agent", "civil servant", ...

As for luggage, during my experience it was thoroughly searched but I don't think they were searching for something specific - maybe a printed resume - I took it more as a way to annoy me.

The risks you take with lying depend on each country's laws, but I would not do it. Many countries can ban you from entering the country or detain a foreigner without explanation.

UPDATE: Apparently a lot of people interpret being evasive as lying. While not everyone has job at a time t when travelling into a country, not having any occupation at all in one's life is much less common. You might travel for a living but you probably do not just spend your time going from one place to another without objectives. Maybe you write, maybe you take photograph. Maybe your trip is a break in a career... I do not mean to push people to make up a fake evasive job, I mean that everyone has an activity (making money or not). Be honest about what you do, but saying you are a "beginning self-employed travel writer after a career change" will not get you in the country, while answering you are a "manager" (if that's actually your past job) and adding (only if asked) that you are on a sabbatical (no one needs to know you are trying a new unstable career at that specific moment) is probably good enough.