I've done that. After three years of several times a week therapy, there came a point where I was so upset that I didn't go and I didn't call. It was very unlike me.

My therapist left several concerned messages on my cell and then at my office. I finally felt so bad for worrying him that I called in. I thought he'd be mad. Instead he said, "there must be a huge amount of hurt there but I can't help you if you won't let me. Can we at least talk about why you didn't come and what has upset you so much? I missed seeing you today."

It took awhile but we worked it out.
I also paid for the session I skipped. In the end, it would have been better to have gone and said, "I'm really angry." But not going definately got his attention and in some ways it was the first time I ever really had a tantrum in my whole life and wasn't a "good girl." I think he was secretly pleased at that.