I have booked a A->B->C | C->B->A flight. What I want to do is to not fly the B->C segment. While skipping the final B->A would be totally fine (just walk out of the airport), I'm afraid that the airline might cancel my return flight if I skip the B->C. Should I worry about that or is this a non-issue? Also - is there any way to make it with checked luggage (for example letting them know when I check in at A that I will actually not fly all the way to C) or is that impossible?
Nearly every airline will cancel the remainder of your itinerary if you are a no-show to any flight on the itinerary. In your example, if you don't show up to the B->C flight, it is almost certain that the airline will cancel C->B->A. However, you could try to call the airline to explain your situation and need for skipping the B->C flight, and they could make an arrangement for you.
Regarding your checked luggage, you can request that it only be checked A->B and not onward to C. This is called a
short check in the airline industry. If the agent asks why, you could provide a reason for needing to access your luggage at B, such as meeting a friend to give a gift stored in your checked luggage. Your mileage may vary considerably.
You should be worried. While not necessarily doing so, airlines generally reserve the right to cancel the whole ticket if you're a "no-show" to a leg. You should call them and ask them re their policy, it varies between airlines.
Re the checked baggage, I believe that it couldn't be done, your baggage will be checked in to the full length of your flight (unless you need to actually take it out and re-check it in, like in an international flight connecting in the US for example). But again - you should ask the person checking you in, if they can do otherwise. I seriously doubt it.
I recently had a flight JFK->ZUR->CPT return. On the return flight I checked in my bag at CPT and told them to check it to ZUR instead of JFK. The airline rep was happy to do that for me, but the first baggage claim ticket printed out was for JFK. It took him a little longer than usual but he managed to get a ZUR baggage claim printed out for me.
I didn't board the last leg of the return flight ZUR->JFK, but since there was nothing after that for the airline to cancel, I didn't have a problem.
Different airlines may have different policies on missing a leg, but from my experience, every airline that I've contacted required changing the ticket to two one-way fares (which is substantially more expensive).