Generally, if you are travelling with a "mainstream" airline (BA, British Midland, Air France, Virgin, KLM, Lufthansa, Iberia, etc., etc.) then you will be guaranteed an onward connection and you will be given the option of checking your bag(s) through to your destination - you would not have to deal with them from initial check-in to arrival at your final destination. If you are travelling by a budget airline (Easyjet, Ryanair, Air Berlin, German Wings, BMI Baby, etc., etc.) you will not be guaranteed a connection (if your first flight is late causing you to miss your second - tough) and you will not be able to check your bag(s) through - you must collect the baggage at the end of each successive leg and re-check in.