Gizmonster:
It's an Ofcom requirement that all users of 'PRS shortcode' numbers MUST recognise and act upon a 'STOP' text. If they don't, they risk having their access to the phone service terminated, together with facing heavy fines (of up to a quarter of a million pounds for each text sent after a 'STOP' message has been received!)
Further, the operators of such services are barred from charging you for a 'STOP' text (although your phone provider will still charge for the text as usual unless, of course, you get free texts anyway).
However, as Greenlily's post indicates, some text services are linked together. So it's better to send 'STOP ALL'. Once again, the service operator MUST stop sending texts and, once again, you can't be charged by the firm receiving the text.
So sending 'STOP' (or, better, 'STOP ALL') is always well worth doing.
Chris