Earlier this year, I needed to get from Las Vegas to Madison one-way. UA had a LAS-ATL one-way fare under $100. So, I booked it routed LAS-DEN-MSN-ORD-ATL. In Las Vegas, they checked me in all the way to Atlanta. In Madison (my intended destination), I left the airport. I was credited for the two segments I had flown and also the MSN-ORD segment I didn't fly. I was not credited for ORD-ATL, though.

I wouldn't suggest buying a ticket, checking in, and not flying for mileage purposes. It won't work 99% of the time.