It's a no-no.

Airlines view markets as people travelling from A-B or A-C, even if the route goes A-B-C. Now sometimes, in order to get people travelling from A-C, the airline will charge less for A-B-C than it would for A-B. But in order to protect its revenues from A-B, it will try to discourage you from jumping ship at B. The principal way they do this is by cancelling all further sectors on your ticket if you miss a connection. They can also do this by through checking luggage to C. The system can usually be gamed if you know what you are doing and if you are trying to miss your last sector on the ticket, but it isn't always straightforward.