A dog working under a lot of adrenaline can power right through the fence barrier. The more they're trained at the beginning, the less they're inclined to try it. Also, an obedience-trained dog, regardless of how much he wants to "come" when you call, will hesitate or even refuse to return to the yard. If you know that somehow the dog has gotten out with the collar on (e.g., during a power failure), turn off the fence until the dog comes back. When the dog returns and is safely inside the yard, praise him and then quickly turn the transmitter back on.
One final note on training: It is important that your fence have what is known as the invisible gate, such as a driveway or sidewalk. The invisible gate should be the one place that, with you, your pet can cross the boundary without correction. To teach your pet where your invisible gate is, take the receiver collar off, put your pet on its leash, and walk your pet through the invisible gate. The first few times, your pet may be very reluctant to cross over the boundary. But once your pet learns that the collar is off and that you have given it permission to cross the boundary, the underground pet fence will be set. Your pet will quickly learn that when the receiver collar is on, the invisible gate is shut.