Not with a therapist, but with my pdoc. He was a nice man, but he did not listen to me when I told him a medication didn't work or how it was affecting me. He also refused to believe I had bipolar disorder, despite having that diagnosis from two separate therapists, so he never would prescribe me a mood stabilizer even though I asked (and now I'm on one and it actually helps... imagine that).
I just skipped my scheduled appointment and never rescheduled. I don't feel bad or guilty about it. It is a little awkward I guess because my new pdoc is in the same clinic, so I sometimes see my old pdoc while I'm in the waiting room. But if he's upset for some reason about me leaving, he can get over it.