I used to think the same thing, thieves ... the coast guard specializes in rescues / etc. on the homefront, in national waters. Major lakes, bays, coasts, whenever people are lost at sea they search for them, they do a large part in seizing illegal drugs from unauthorized shipments, detecting illegals before they enter the country, and all kinds of other stuff. They do the same stuff in other countries now and then, but very few coast guard go to places like Iraq. I am specifically joining so I can do networking administration and systems administration for them, abord ships and at bases. It's a good start on my resume, and the benefits are great. I am not sure if I would ever willingly go to Iraq (by joining another branch of the military) because it's not exactly necessary. When world war 3 starts, i'll consider the army.
EDIT: CG Boot camp is harder than the navy, air force, and army bootcamps. I guess they are a 'lesser' form of the navy that works mainly in the US. No need for tactical operations and everything because CG duty doesn't require it.