Airports – If a 4-leg city flight is cheaper than a flight between those routes, can I just get off halfway?

A flight with 3 legs, A-> B-> C (the exact airports do not matter, but know that A is outside the EU and B and C are inside), and I have two pieces of luggage with me. This is cheaper than a flight from A to B; and B is where I really want to go.

Is it possible to board this flight and then leave the airport at B? I assume that if I had no checked-in luggage that should work. But with baggage I could say with some probability of success to the airline at B that "err … there was a problem and I have to stop my trip here, can I retrieve my checked baggage?"