I once had such an arrangement with Lufthansa:
OSL – MUC – SFO – MUC- OSL
On the return, I would ditch the flight to Oslo, but lo and behold, they refused to let me have my luggage off in MUC. If I were so inclined, I had to buy a one way economy ticket to MUC from SFO.
Since then I have never liked Lufthansa.