I wanted to run once from a therapy session a long time ago, when a previous therapist said something very rude to me. I was shocked and pictured myself just getting my purse and saying, "I'm going to go now.", but I didn't. I wish I had now, in retrospect.
I did run from a pdoc appointment though. She had a student working with her and the previous time she'd had a student, she'd asked me (in front of the student) if the student could sit in on our appointment. I told her no (and felt terrible about it).
When I saw a student was there again and the secretary momentarily stepped out of the room, I bolted. It's hard enough going to appointments, I don't need the stress of a student listening and discussing me afterwards......and the embarrassment of telling the student I don't want them to sit in. GEESH!