Most of the rounds I've played have been either in the Canadian Rockies and on the Hawaiian Islands. In the Canadian region, it's not uncommon to stumble upon wildlife... hawks, eagles, deer and even the occasional bear. In Hawaii, there's a whole new set of creatures stirring about including, lizards, peacocks and wild boars. I agree some wildlife is nice to see, however if my ball ventures off the fairway and into the rough, I'd prefer if I were the only thing looking to retrieve it...
When I played in Vegas, they told us if our ball was off the fairway, even if we could see it, they didn't recommend going to get it because of what creatures may be hiding amungst the rocks. Apparently, in Texas they have a similar recommendation, suggesting you simply take the penalty stroke and move on. I guess this is why...