I've done this three times in my life.
First time: boss had serious issues with how he treated employees. I only worked there a few months and I was the only employee because he couldn't keep anyone else. I handed him my hotel key while on a job in Denver and said 'bye'. Walked down the street, got a cab to a car rental place, and drove back to Phoenix thinking about everything.
Second time: I was being manipulated by someone I thought was my friend and that person's best friend (who was my boss). I worked 6 days on the job, realized how much I was getting screwed over and decided to quit. I told the owner the place wasn't for me, then I walked out. My 'friend' tried to get me to go back and ask for my job back.
Third time: I already didn't like the work environment or how my co-workers interacted with me. I was then told to do something I consider unethical. I was working through a consulting firm at the time so I called them and explained the situation. They pulled me off the job immediately.
Keep in mind, companies don't give employees two weeks notice before firing them. I give two weeks notice to people I respect that have treated me fairly. I have no problem not giving notice to people that treat me poorly.