I am traveling to Europe and on the way back I have a long wait in NYC before flying to Philadelphia. It would be more convenient for me to take a train from NYC home to Pennsylvania then wait for an early morning flight from NYC to Philadelphia and then again train from Philadelphia home. Is there any penalty if I just skip the last leg of my final destination? Thank you :)
Do you have checked luggage? You face the risk of it carrying on to Philly without you.
Also some airlines get antsy about this, especially given you'll be checked in, and can sometimes make it hard for you to travel with them again.
Another option would be to go to the service desk on arrival and ask if there's an earlier flight available, meaning you don't run the issues of losing your flight, and can still get back earlier than the long wait would have required.