Yeh people overestimate the "I'll go to someone else" threat. Most businesses know there are customers that aren't worth having.
Some companies (Comcast namely) do not listen to this threat, even when it is real. Our cable/internet bill kept increasing each month, even though we weren't adding any services. We had actually removed services to try and save some money. The last call we made was to find out if there was a better package deal that would reduce our bill and the inside sales/retention team did nothing for us. We cancelled instead and changed providers.
Not a week after we cancelled, we had someone at our door and people calling me trying to find out what happened. After we told them about the bill going up every month, even after cancelling services, and that the retention team did nothing to help us lower the bill, they were appalled. They have offered me all kinds of different things at next to nothing prices. The problem is, as soon as I switch back, I know they will just start raising the prices again and its just not worth it to me.