Depends on the situation.  I think a two week notice and working to the end is the best thing to do in almost every case.
When I worked in Indiana and was planning to move to Arizona, I gave my boss a three week notice and then made a plan for those three weeks.  I worked until 30 minutes after closing on the day before I left the state.  I finished my list.  My boss told me she had never seen anyone work that hard after giving notice and that she would give me a recommendation anytime.
My first job in Phoenix, I had big issues and problems with my boss, the owner.  I walked off that job while onsite in Denver working on a contract.  Packed my bags, knocked my boss's hotel room door and told him I was done.  Only time in my life I've ever walked off a job.  I don't regret it, though.