Technically, if you do this purposefully in an attempt to get the lower fare (barring airlines that allow this practice such as Sun Country, Southwest, Jet Blue, etc.) you can be in violation of a strange laws usually known as 'defrauding an innkeeper'. The purchase of the round-trip ticket is in effect a contract between you and the airline and by you entering into this contract and then breaching it purposefully, you have committed fraud against the airline. However, I highly doubt that you'll be put on any blacklist.
There was an notable story about a man that didn't use his entire plane ticket and the airline (TWA in this case) held his luggage in leiu of payment for the difference between the two tickets. In this case, the passenger bought a ticket from San Diego to some small town in Missouri (don't remember which). His flight flew through St. Louis (as this is one of TWA's hubs). Instead of continuing his journey by catching his flight to the small town from St. Louis, he just had his son pick him up at the St. Louis airport. When the man attempted to retrieve his luggage at the small airport, TWA refused to give it over. It seems a ticket from San Diego to St. Louis would have cost $200 more than a ticket from San Diego to this little town (even though the flight to the little town including a connection in St. Louis). In TWA's eyes, this man committed fraud and they were out the $200. In the end the man never retrieved his luggage and TWA still has it and is waiting for their $200. In the meantime they received much bad press but still refuse to turn over the luggage.
