Depends on what you're talking about. If it's truly a case of missing your flight and you show up to the airport within a couple hours of when you were supposed to fly, they will probably accommodate you on a later flight that day under the unofficial "flat tire rule," though it's at the discretion of the agents. Make sure you have a good story that doesn't include that you saw this coming a long time ago and posted on a message board about it.
If you know within 24 hours of your flight that you are going to miss it, you can call ahead and try to do Same Day Confirmed for a later flight, which I believe has a $50 fee. Depending on the price of the award ticket you buy, this can be close to impossible as the same fare class needs to be available and there often aren't low level awards left on the day of travel
If you know that you're not going to take the flight at least 72 hours in advance then you can cancel it and redeposit the miles in your account for a $150 fee (waived if you are a Platinum or Diamond Medallion). Keep in mind that if it's a round trip award ticket, you can't cancel the return leg after you have flown the outbound leg, so if you think that scenario might happen, you may want to book it as two separate one-way awards.
If you get into the situation where you book the ticket and then realize well in advance that you will have to cancel it (as in before 72 hours), you should wait until closer to 72 hours to cancel because if there is a schedule change on your itinerary in the meantime you will be able to cancel it and redeposit the miles for no fee. Same scenario if you're under 72 hours but decide you're just going to eat the miles rather than pay the redeposit fee - even if you're not going to take the flight keep an eye open for significant delays, etc. that will allow you to cancel without penalty
