Will I get in trouble for skipping the last leg of my itinerary?
 

I am trying to get a mileage ticket on Continental and for some reason, there are no seats available to Houston on the day I want to return, but there are seats to a bunch of other cities on that day that fly through Houston. Can I just buy a ticket to Austin, but get off the plane in Houston? Can I be penalized/charged for doing that?

No

Thanks, I assume you mean no I can't be penalized.

Converse question: can I book a ticket departing from Austin that goes through Houston, and just board in Houston and skip the Austin-Houston leg?

No because the rest of your itn will get cancelled.

The first "no" means that you won't get in trouble or penalized as long as it's the last leg. You can't check bags because they will be checked to AUS.

I figured that.

Thanks for letting me know about the bags, it makes sense but I probably wouldn't have thought of it!