To be clear..
For example: JFK - SFO - LAX
You wanna now stay in SFO? As long as you don't have a return trip on the same reservation, it's not a big deal. If you no show for a segment it forfeits the return as well. So if you just have one connecting trip and you take the first segment, not a big deal.. You won't be getting "your money's worth" cause you paid for a connection but they can't force you to take the 2nd flight. Hehe