An attractive woman at the store.

Hello k:

If you do it once, it's OK. If you do it MORE than that, it isn't.

excon

May I ask what kind of filming? Is it in a place where she can expect privacy? How old is she?

What you can't do is use it for distribution, publishing, or selling in any way. She could sue you for everything you've got and will have.
She can also call the cops on you for stalking and harassment (even if you stand far away). That's a gray area that you really don't want to get into. She could imagine that you are following you home, or she could blame you for any little thing that happens to her, and guess who the primary suspect will be?

Hopefully the chick is not a cop or you could be arrested for filming her.

Here is a link to a state by state listing of wiretapping and video taping people. State laws vary. Read carefully, and check yourself for possible changes to your state's laws.

If you are doing something more perverted, like shooting up skirts, trying to get dressing room or bathroom video - all places where an expectation of privacy is clear - then it's a whole other ballgame, and I suggest if this is the situation, you seek the proper mental health support.