Seems that someone manages to do it, somewhere in baseball, about once a year. The most recent instance I can find with my l33t google skillz was a Blue Jay who also stole against Pettit & Posada in 2007.
On SportsCenter this morning they pointed out that most of the time, a steal of home actually takes place on a squeeze play or some other bunt-like play that is set up to bring the runner in. A "straight steal" of home on a regular pitch is much, much rarer.
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