It isn't rude to leave in the middle of a performance. However, common courtesy (and one would think etiquette or tact would have something to do with it) - would lead you to believe that you make a quiet break for the lobby during applause/scene change - not during a quiet number or when it would be most conspicuous.
I'll admit, I've walked out of a few shows before (I think I walked out of 3 or 4 shows last year alone, and so far only 1 show in 2008 -- but I see several hundred shows on average a year...)
Not every play/musical is everybody's cup of tea. Unfortunately, some people make a fuss about it when they leave, and it's really insulting to the performers. Personally, leaving a show should not cause any more disturbance than if you had to get up to go to the bathroom.
I remember the first time I saw SWEENEY TODD on stage...it was in a production in New Orleans with a 35 piece orchestra and an amazing first-rate cast, and about 1/4 of the audience (in a 1000 seat theater) walked out. This was about 15 years ago, and people were blatantly making comments back at the stage, storming out in a huff, and causing a scene. Some people did leave quietly, but those brave performers didn't flinch. Some people just don't get art. It's a shame because I find Sondheim to be rewarding, no matter if it's the original production or a dramatic reinterpretation. Years later, as the box office manager of the same theater, I still never saw as vitriolic a reaction to any of our shows as what happened during SWEENEY. That's also why we haven't done SWEENEY since. And why some regional/community theaters keep doing the classics of the canon -- they can't afford to have walk-outs/offend their subscriber base.
Oh, and Gothampc...I'd rather someone leave (inconspicuously) than fall asleep. Usually, the ones who fall asleep (always right next to me...for some reason) tend to snore. I hate when people snore in the theater...then it steals away from the performance.
<---- You can see the crazy in her eyes. ;-)