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				Ballbarian said: 
They definitely do.  As Gandalf has described before, they essentially become stealth bombers dropping naked ladies as they slip by.  Catch a province with no defenders, and poof, it is yours. 
			
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 This only works on provinces that have a province defense of 0.  If your opponent has bought a single point of province defense, then the only thing that occurs is 5 or 6 points of unrest.
You can accomplish exactly the same effect on undefended provinces using 20 gold scouts.