I haven't. I wanted to do so twice though. First time, I actually just thought after a rather harmful session that if I'd had some self-respect I would have left. That was about a year into my therapy. This year it once happened that my therapist yelled at me; I said I wanted to leave the session after he used that tone with me, and I might have, but he started saying how he didn't mean to hurt me and said that if I wanted to leave because of that I wouldn't need to pay for that session since I thought it didn't help me. After that, we both decided to stay and made the rest of that session really good and worked it out well. I'd say that's progress - both that I actually expressed my intention to leave and that I stayed and we both acted differently after that.