I did it once, on a return from SNA (John Wayne) in California. The flight to PHL stopped in Newark, NJ, then I had to switch planes to a small little one to hop to PHL. Well, it was better for me, to get off in Newark and go home from there, and that tiny plane flight made me nervous as well. But, that same flight from SNA to Newark, was $200 more. Very weird, I only noticed it myself by accident, because I do fly out of both Newark and PHL.
I actually ship home most of my stuff, so I only had a carry on going back. Even with that cost, I saved over $150. I guess I understand that the airlines hate this, but I could not really seem any harm in it?
Thinking on this further, I think it was not SW, but Continental/United.