In late 2009, I flew from Philadelphia to Adelaide, Australia in 3 legs using 3 airlines. US Air was my first leg, and I checked my luggage all the way through. Had to pay for the luggage per US Air baggage fees. On the way home, my first two airlines did not charge for luggage, however, when I checked in at Adelaide, I had to pay the US Air baggage fee for the LA to PHL leg of the trip, even though I was checking in with another airline that did not charge fees.
So, I would guess that if one of your airlines charges a luggage fee, you will have to pay it when you check your bags. I also found that when I had to go through customs, I had to have all my luggage with me. You may not encounter that if you fly out of the country on your first leg. My first leg was domestic, so had to get my luggage, go through customs and then re-check the bags. This was pretty simple to do, just annoying! It was repeated on the way back when I arrived in LA on the way to PHL. But the luggage fee had been paid up front when checking in for the first leg.