Cancelling an order

If I place an order and put a stop loss in and then close the order before my stop loss is hit because I just feel it's not going to work, does my stop loss automatically disappear?
Does anything happen if I leave it in?

That depends on the broker/bookie/etc. Most do cancel the stop loss order automatically, but some dont. If its not cancelled and you leave it in, it will open a new position!

Well, if oyu talk about exchange, it does NOT depend on broker. The broker and exchange will not. The order is in, can get executed. Cancelling an order is always the responsibility of the trader.

Now, the backend or the software may do so (like Ninja can etc.), but that is a "client side" implementation, and as such open to all kinds of issues (connectivity loss between orders etc.). Many trading packages have the logic for that built in.