Ken's got a really good point. Sometimes it is graceful to get out of the way. Most of the time, however, the actual result of quitting in a FFA game is that there is suddenly an advantageous power gap for another player.
Contrasting point: It's almost certainly bad sportsmanship to do what I have done in the game with Stratch.
The situation is that Westeros is an very, very lopsided map, and a neighbor had a leg up on me from the beginning and exploited it in such a way that I was never really allowed to play in that game. He was pleased to abuse the fact that most of the cities allotted to my kingdom were shoreline with ports all within a half-turn's reach of each other and thus totally indefensible, combined with the 2 to 4 turn distance from my original area to any conquerable sectors, and I really resented it. He wasn't conquering me, just sapping his own strength, but he really ruined the game for me.
So I turned everything against him, sabotaged him, and can reasonably claim to be the reason he's gone irrecoverably from #1 to #3 in that game. I would have hated to see him win simply because his starting position was so overly advantageous, and his neighbor was a poor player who quit and left him with easy territory. Stratch had to fight both of the other powerful players (and me at one point) to get where he is, and I'm pleased to tip my hat to a real victor.
Meanwhile I continue to sink my nemesis' navies, not simply hiding in my cities as Stratch seems to believe