froggyEngland: You do not need to check the luggage to the final destination, but can without any problems only check it to the first destination. There is no penalty for this and I did not have problems with this.
If you check the luggage through andd you would not be on the plane for the last leg, the luggage would have to be unloaded according to safety regulations.
Even the last leg you could miss and find a reason for it. Usually the airlines prefer you tell them instead of checkin in and not showing up, but not a big deal for them.
froggyEngland is right, T&Cs are often saying the airline hast the right to re-calculate the fare price according to the actual rout you have taken. Never experienced that they really do it. Sometimes I used only the first leg of a return ticket.