I'll play out even the most one-sided games as long as there is something to fight for. If I'm going to lose a multi-objective game regardless, I'll focus on holding or contesting a single objective. If it's annihilation, I'll focus on killing a problem unit or an HQ. There is nothing wrong with playing for a secondary objective or for honor. Our gaming club has plenty of tables, though, so space isn't an issue.
We do sometimes hit the reset button if things go very, very poorly in the first turn or two. I remember one game against a daemons player where he rolled for the wrong half of his army, and then got mishaps with 4 of the 6 units entering play. We just started over.