Penalty for opting out of leg of air travel?

"Or will this void my return later?" Yes. And if the airline is in a really bad mood, could get you blacklisted from them as well.

You should price both itineraries. It'll depend on your dates of travel, but you may very well find that there is little price difference between RT Atlanta - Paris and open-jaw Atlanta> London, Paris>Atlanta. Another issue to consider: if you're on an Atlanta > Paris ticket, any checked bags will be checked through to Paris. You won't be able to retrieve them in London.

We wanted to go to Germany and had tickets from YYC to FRA to AMS which were $250 cheaper than YYC to FRA. Don't ask me why ... For our family of four that was a thousand bucks. Even with the additional train ride to get back into Germany from AMS we saved a ton of money. But the only way for us to get out of having to take the flight to AMS was by arriving in FRA in the middle of a snow storm that closed down Schiphol. Our connecting flight was cancelled. Lucky us! For the return we called the day before and checked because the weather was still ugly and many flights cancelled. We offered to go straight to Frankfurt thus avoiding the risk of getting stranded in AMS and missing the connecting flight in FRA. Nope, no way were we allowed to do that. If we hadn't checked in for the flight in AMS the reservation for the next leg of the trip would have been automatically cancelled. In the end, the weather was good enough that all flights were more or less on schedule.

Thanks for your knowing replies. I'll pay more for the open jaw.

I've done it and lived to tell. Airlines, however, seem to be more concerned about this now. In 2005, I booked an open jaw into Amsterdam and home from Rome with KLM. I also booked a connection into Frankfurt with Lufthansa (all booked at the same time). When looking at options for leasing a car I found it was a much better deal to pick up in Amsterdam and start from there. We ended up just getting off in Amsterdam, staying a day and picking up our car there. We had no trouble flying out of Rome a month later except the airline had gone through about three gyrations of canceling and rescheduling flights (booked us for an overnight layover in Minneapolis, changed to an overnight layover in Amsterdam, and finally went back to essentially the same schedule I started with).

Not Europe, but in 2007 we had a flight on United into Sydney, Australia with a connection to Melbourne that couldn't land in Sydney because of weather. They landed the flight in Melbourne and took our Sydney to Melbourne boarding passes as we got off the plane. Then, when we tried to check in for the return flight, they had canceled our tickets because we were "no-shows" for our scheduled Sydney to Melbourne flight. Thank heaven for online check-in the night before, because it took a long time on the phone that night to resolve the issue. Getting frequent flier credit for all the flights also took several phone calls back in the States, but it was a lot of miles and I was committed. Long story short, don't chance it.

We booked a RT from Madrid to Venice because it would have cost us more than $2000 EXTRA to fly one-way!
How absurd is that. If I'm ever on that airline again, they can punish me at that time.

Janis: here's how to avoid being "punished" by the airline. When you get to Venice, just call the airline and cancel the return leg of the ticket. That will give the airline the chance to re-sell the seat, and that will make them happy.