Just a "heads up" guys:
It's not always a "jet" that'll be arriving for the intercept. Near Tuscon, that's all I've heard/seen (121.5 on comm 2 is fun on cross country flights).
Personally, I've been "followed" but was already on 121.5 by a C182, C210 and once by a King Air. If you live near the border and fly a lot for years, you're bound to meet new friends sometime
The two cessna encounters were because I used to fly a LOT at night all over the west here. They were nice, probably bored, and just wanted to see what's up. The King Air "arrived" when I was flying the border and I had a "visitor" form up behind me with their transponder off. ATC asked me to switch to another channel and directed me to perform basically a box maneuver, I saw the aircraft on the second turn and he bugged out into Mexico. King air arrived shortly after and explained they thought he was trying to cross the ADIZ and ghost under me. ATC had a primary but not an altitude ...
Have also had ATC ask me to "relay" to the Mexican airforce pilots that were running low altitude into U.S. airspace when I was between Pecos and Guadalupe Peak (basically was told to tell them to leave as they weren't supposed to go low on the deck).