tl;dw:
Modern cars are not as easy to siphon gas out of. You’re going to need a narrow, semi-rigid tube to get past any check valve. Make sure this tube is long enough to reach the bottom of the tank.
Of course, if you’re not concerned about the car, you can punch a hole in the bottom of the tank and capture the fuel that way, but you’ll certainly waste some fuel.
@horse_battery_staple makes an excellent point: If you are uncertain about the quality of the fuel you are siphoning - whether that be because of its age, contaminants (rust/water), or if it has two stroke oil in it, be aware that the vehicle you run the fuel in may run badly, and you may incur mechanical problems, either in the short or long term. Generally speaking, “she’ll run,” especially if you’re cutting the acquired fuel with known good fuel, but you should consider this as an “oh shit” option.
This strongly depends on the car, and it doesn’t necessarily mean that prying the fuel door open while the car is locked will set off the alarm. Some cars that have a fuel door release just use a cable, some use an electric servo that is not tied in with the door locks at all.
That “check fuel cap” light is tripped by the emissions control system checking vacuum in the tank or charcoal canister. It’s not checking the actual cap.