This is anecdotal, but I had an experience where I was flying from LaGuardia to Madison, WI with a layover in Chicago. The last leg of the flight from Chicago to Madison was delayed by several hours, to the point where it would be significantly faster for my boyfriend to drive down from Madison, pick me up at the airport in Chicago, and drive me back. I don't recall which airline I was using at the time, but the gate agent told me that it was their policy to refuse to pull someone's checked luggage if someone didn't "want" to complete the last leg of the journey, but if I told someone that I was not feeling well and wished to end the trip early due to health reasons, that would be the easiest way to do it. So that's what I did - I went up to a different gate of the same airline, told them I was sick and would not be getting on the connecting flight, and the luggage was downstairs in a special area of the baggage claim within 20 minutes. It felt like being in grade school and telling the nurse I was sick to get a day off...