The airlines have a racket set up where they screw people that live near a hub and want to take nonstop flights, but at the same time offer competitive fares from cities they connect to.
One instance for me was was wanting to fly to Marquette, MI on business. Detroit to Marquette nonstop was $600+ roundtrip. Lansing is about an hour drive from the Detroit airport, and flights from Lansing to Detroit to Marquette were $350. But it adds a couple hours to connect and have a layover, so they're banking on business travelers paying the premium for the nonstop flight, and they also compete with American who has flights from Lansing to Chicago to Marquette so they have to keep fares lower there (there's no competition on the nonstop Detroit - Marquette flight.)
But their racket breaks down if you fly Marquette to Detroit and then get off and walk away without taking your return flight to Lansing. So they try to make that practice "illegal." For the most part it hasn't held up in court, but I have heard of airlines cancelling frequent flier accounts if you do it too many times. For the average traveler that might not mean much, but people that fly a lot can easily have thousands of dollars in frequent flier miles.
One drawback to hidden city ticketing where you walk away at the connecting airport is you can't check bags, because they'll go to the final destination without you (and if you're forced to gate-check a bag, then what?) But the big danger is that if your first flight gets cancelled, you might be rerouted through a different connecting airport and and not get to where you originally were planning to go.