I've never tried; I'm not sure I ever even considered it. If I got close to considering, I had a nightmare about my mother kicking me and my siblings out. She would never do that, so I usually stayed home, haha.
My friend has; when she was little, she got upset about not being able to wear her favorite tights or something, wrote a "good-bye" note, and ran away. She got as far as the gas station before someone found her. Either that or she turned around.