Generally annoyed, but hey, what did they expect? Our site clearly tells them not to return them without a returns number, if they choose to ignore that then tough.
People need to learn that if they want to return something they should contact the supplier and ask for their returns procedure (or read it on their website), and not just chuck it in a box and send it off. I guess most of them are chancers anyway - ie. they know they have no right to return, but think if they return it we'll just give in rather than go to the hassle/cost of sending it back to them.
As far as the law goes.... if it's not covered by the DSR (ie if they haven't informed us in writing within 7 days, or it's ineligible for some other reason) then all they have done is sent 'their' belongings to us in the mail. As far as I know we are under no obligation to look after them any more than you would be under any obligation to look after some of my stuff if I just mailed it to you.
To be honest it happened very rarely anyway, and these days we simply refuse any package that doesn't have a valid returns number on it. Again, I'm sure they're pretty annoyed when their package gets returned, especially if it has cost them £10 or so to send it, but hey what can they say?