Not illegal, but against most airline T&Cs. Search on "hidden city ticketing" for more info. On occasion airlines have been known to take action against people who do this regularly, but as long as you don't make a habit of it, you shouldn't have any problems. Note that you probably won't be able to short check luggage, and in the event of cancellations or whatever, the airline could conceivably change your routing to not include Atlanta.