I'll admit...I once had a United flight that got delayed 10 hours (I ended up getting about $400 credit for that) and I bought a fully refundable first class delta ticket on the latest flight out that night. When I got to the lounge 3 seconds later I showed them the boarding pass on my blackberry. Worked like a charm. I sat down, promptly called Delta, and cancelled the ticket. This all happened within about 10 minutes. I don't even think the charge made it to my credit card.
I'm not saying you should do this. It is possible to get screwed. Imagine a guy thinks he will cancel once he boards and then calls and there's a 20 minute hold time and he can't cancel before the other flight takes off and then has to pay for the ticket.