I've been known to book a round trip air ticket in the US and throw away the return portion. Anything I should watch out for if doing this in Europe?

I'm looking at a very inexpensive RT from BRU to FRA but only need BRU-FRA and not the return (don't ask). The cost would be much less than the train, and would save several hours travel time.

But, will I get into trouble for entering Germany and then apparently not leaving? Will they never let me in again? As a related issue, I know the US airlines monitor this behavior closely, does Lufthansa also do so and will doing this give me trouble the next time I try to fly with them?