Cancelling a superday after flight has been booked

why not go? unless you are super busy, this is only upside for you: meet new people in the industry, get interview experience, see another city...

I would still go...

I was in the same situation a few weeks ago, and cancelled the interview. Honestly, it's waste of your time, particularly if you have class that day anyway. They might be pissed, but when I called, they understood. They don't want you wasting their time either. Also, if you have any people that you networked with at the firm, I would give them a call, too, to explain why you aren't going. This should minimize the bridge-burning.

You should definitely cancel. The flight is at worst a sunk cost for them, the variable cost is their time. You can cost them 0 time if you cancel and several hours if you don't. Then what if you did go and got an offer? If you denied it right on the spot, people would think you're nuts. So you'd have to wait, and pretend to take a few days to make a decision, which would waste more of their time and make the recruiting process a little bit more annoying for them.

Unless you want to waste a ton of time and force yourself into a web of lies, tell them the truth, accept your other offer, and move on.

I'm pretty sure that banks have the kind of relationships with travel agents etc that would make your ticket refundable, based on the number of times I've seen assistants cancel/change flights and receive credit for them. They'll probably just cancel your flight if you cancel.