This came to mind because I was chatting with my father a few minutes ago. I'd let the conversation die off some time ago, but after about ten minutes he popped back solely for the purpose of saying "bye". On the one hand, I can understand that, but it's a rather telephone-like approach, which struck me as unnecessary for IM. I've found it most natural to let many IM chats simply trail off. Not always: when I'm in a genuinely animated conversation with someone, I treat it like a F2F talk and end it properly. But when it's just an occasional back-and-forth with sporadic messages (the most common case), I often just sort of let it drop without ever explicitly ending it.
So I'm curious: how do you handle IM ettiquette? Do you think it's always appropriate/required to tell the person at the other end of the line when you have to dash off? Sometimes? Never? I fall into the "sometimes" category, but I have no idea whether that's common or not...