Yes. In my experience while you can't get a refund, you can get a credit. If the airline won't give you a credit, you can give yourself one like this:
- determine the change fee for your flight. In this example I'll use $150.
- remind yourself of the price you paid for your flight. I'll use $1000.
- find a flight a long way in the future that costs just under the difference, eg $850. It does not matter where this flight is from or to, you will NOT be taking it.
- change your flight to that flight. You may end up needing to pay a few dollars on a credit card, or losing some of your credit if you change to something that costs less than the target price. Consider changing to a higher fare class that does not have change fees, if you can. (Before you call, look into whether you are allowed to change up and down on this airline. Changing up to avoid change fees is a fool's bargain if you can't change back down again when you use the credit.)
- wait until you want to use the credit. Don't wait too long since generally you can't make changes that take a ticket beyond the one-year mark since it was first issued. Use it only when you are going to spend more than the credit (possibly the credit less the change fee) so $850 or $700.
- change your flight again to what you want. Again, you may have to pay a small balance, or give up part of your credit if you're not using it all.
When I have credits that clients paid for, I try to use them on the client's behalf in the future. This is also one of those times you can get yourself in a more expensive fare class (from which upgrades are cheaper or more likely, or in which the food is free, for example) since you need to use up the whole credit.
The airline I fly most often actually does this behind the scenes when you cancel a ticket. But if the airline you're flying doesn't, you can - don't lose what you paid!
If the change fees on your airline are so high that would you not end up with any actual benefit, you should cancel anyway. This may enable another person to buy a ticket they urgently need. No-showing for the second leg of a return ticket generally won't hurt you, but it can inconvenience all the people who work at getting a flight out with everyone on board. So take a minute and let them know not to expect you, if it's simply a matter of clicking something on a web site.