Continental is hit and miss in this regard.
A few years ago I missed the last leg of a two segment flight and was credited for the mileage (BP obtained at first check in). Recently, I have skipped the return flight on a RT after checking in and was not credited. I suspect that the airlines' IT systems are becoming more sophisticated now and it will become more and more uncommon to get the credits.
Oh for the old days when it was not too difficult to get full mileage credit on award trips by getting your FF# into the system anywhere along the way.