Not all airlines allow redemption of one-way awards, although more are starting to.

Right now American and United do, but as you've found out Continental doesn't. That may change as the United/Continental merger continues.

The advice that domestic awards are generally not a good use of miles is a good general rule, but it is based on the comparative cost of purchasing the ticket instead of using miles for it. For example, it is generally accepted that you get more "cents per mile" by redeeming for International First or Business Class tickets than for domestic coach tickets. Others argue that you would never pay the $10,000 or more for an International First Class ticket if it came out of your pocket, so the comparison is not completely valid.

Leaving that aside, if you have to fly domestic on short notice, and the "cheap" booking classes are sold out so you'd have to pay full fare, redeeming miles for a domestic ticket could be a good bargain. It's based on your personal situation, so as they say, "YMMV" (your mileage may vary).

One other tip: If you can't get a "saver" award in domestic coach, before you pay the double price for an "anytime" coach award check out availability in First or Business class on the routing. You may be able to get the upgraded seat at the same number of miles as the "anytime" coach award, and in some cases you can pay even fewer miles to sit in the pointy end of the plane than back in cattle class.