This is called "Hidden City" Ticketing, or "Throw away ticketing".

Some airlines care a lot more than others; mine seem happy enough to let me do it (Even the phone reservations agents encourage it).

Do be curteous in how you do it - schedule a long (20+ hours) transit at your hidden city (This negates the problem of bags being through checked), and once you're out of the airport, phone the airline advising them that due to unforseen curcumstances you won't be making your flight.

This means that the airline can sell the seat you had reserved a second time, and possibly someone on a waitlist will get a cheaper ticket/get on the plane.

Regards,
Alex