I did it once when I made a mistake in taking a job I thought I'd like, instead of researching it a little more.
After 12+ yrs in a company I liked I went for an interview selling bikes (hence the draw), and got the job after one interview.
3 months later I told the boss to shove his bikes where the sun doesn't shine as his expectations were frankly ridiculous.
Needless to say I was then invited to travel down to London (from Leeds) to hand my car back in and say goodbye !
I came back home on the train with no job, no car and a house to fund - but it was one of the happiest times of my life.
I was out looking for jobs the same day and found something in six weeks so the net outcome was I made money out of the situation.
Until I experienced the stress and downer that a truly hateful job puts one in - no matter if it is you or the job at fault, I would have always say one would be crazy to walk out of a job.
However, having been there I can see the reasons for doing so. And future employers can be gauged at interview by how they react to the blot on your CV.
My current employer said it showed courage and drive for me to do what I did, but the also said it was more down to the fact that I got myself sorted straight away. They did say that if it had appeared twice on the same CV their thoughts wouldn't be the same.
My situation only really affected me as I lived alone and had no debts as such. I wouldn't like to do it in todays job climate but health and well being are vitally important so maybe jump before your pushed.