You can now cancel your Xbox Live Gold automatic renewal online, by going to: https://live.xbox.com/en-GB/Subscriptions/AutoRenewal. It seems that Microsoft have only recently added the option to cancel your Xbox Live Gold automatic renewal online to the Xbox.com website, as for years you have had to call the support number to get them to cancel it.

UPDATE 13th JUNE 2011

This feature has been removed from the Xbox website within the last 24 hours. To cancel automatic renewal, you will need to contact Xbox support by telephone:

UK

Phone assistance is available.

• Monday-Friday: 09:00-22:00
• Saturday: 09:00-20:00
• Sunday: 09:00-17:00

Phone numbers

• 020 7365 9792 or 0800 587 1102
• Hearing Impaired (TTY device): 0800 587 1102

US

Phone assistance is available:

• 9:00 A.M. to 1:00 A.M. Eastern Time
• 6:00 A.M. to 10:00 P.M. Pacific Time

Phone numbers

• Toll free: (800) 4MY-XBOX or (800) 469-9269
  
• Direct dial: (425) 635-7180
  
• Hearing impaired (TDD device): (866) 740-9269 or (425) 635-7102

The contact numbers for other countries can be found here: Call Us

They added that feature a while back for a couple of weeks, before swiftly taking it down. Apathy made them lots of money through phone cancellation, I guess they figured they have enough money.

I decided to add a post, as I constantly get emailed asking how it is done online and It was working yesterday, but it looks like they've pulled it again. Shenanigans!

good thing i turned mine off when it was on, runs out on the 12th :/.