Its not common but it can be done.
I know some people who ended up being unhappy with their programs (bad advisor, change in research interests, etc.). They left after they got their master's and it was basically like reapplying. Some master's credits transferred.
The other one you see a lot is if your current advisor decides to leave the school (terrifying, I know) depending on where he goes, some schools will allow you to sort of follow them in provided the schools are not drastically different (i.e. PhD to a PsyD or East Nowhere U to Yale).
