I'm betting on raccoons as well.  It's been a war of wits with  them here in 
our yard for the past two years but at this point I'm ahead, sort  of.  I 
won't even go into how unsettling it is to have been outwitted  on so many 
occasions by them!!  :-)  I've gone through a progression  of ideas for trying to 
prevent them from stealing the suet - sometimes they  stole not only the suet but 
the feeder as well!  So here is a description  of the setup that has foiled 
them (for now):
 
I obtained a short (12" or so) length of chain and wrapped it  around the 
branch from which I hung the suet feeder.  Didn't leave  much slack; that keeps 
them from dragging the feeder off the end of the  branch.
 
I use the older style suet feeder with the end that opens rather  than the 
newer green ones that have the whole side that opens - those are easier  to fill 
but easier to open.  
 
I used to use the "dog leash" style clamps to close the  feeder  and to 
attach the feeder to the chain but the raccoons learned how  to open them.  So I 
switched to the smallest, cheapo padlocks you can  buy.  So I have a little 
padlock attaching the feeder to the chain at one  corner of the feeder and another 
little padlock holding the other corner of the  feeder shut.  And everything 
is secured so that there is as little slack as  possible with the hinged suet 
feeder "door".  As you've seen, if you have  much slack the thieves can pry 
the door open and get to the suet even if they  can't actually open the door and 
get the whole cake out at one  go.
 
Hope this helps and good luck!!
 
Sarah 
Sarah B. Anderson
Cabin John,  Maryland
B i r d N e r d 3 at a o l dot c o  m
www.pbase.com/sarahbee