The airlines will transfer your bags to your connecting flight. However, it gets a little more complicated if your also changing airlines. We found that out on our recent trip to Hawaii. We flew Continential from Houston to Honolulu. We then connected via Aloha Interisland Air to Maui. However, Continential was only able to take our bags to Honolulu, they couldn't transfer them to Maui. We needed some sort of paperwork to show the people at Continential that we were indeed connecting to Aloha or they couldn't go any farther with the bags. Well, in this day of "ticketless travel" one typically does not have a ticket to show their itinerary. The email confirmation from Aloha would have done, however, they never sent us one. I remember standing there arguing that they (Continential) could just call Aloha to verify our reservation (we did have a reservation conformation number) but they wouldn't budge. So when we arrived in Honolulu we had to go to baggage claim, get our bags, then go through the whole check in procedure again like we had just begun our trip in Honolulu--go to the ticket counter, check in our bags, go through the metal detectors again, etc. We "island hopped" that is, we flew to several other islands, then flew Continential back home. En route I went to the business center of our hotel and printed out email confirmations for the remaining legs of our journey. We than had no problem having our bags sent to our final destination. I've flown many times via connecting airlines and never had a problem with inter lining the bags. However, I guess this is all post 9-11 stuff. So, to sum it up, if you're staying with the same airline the whole trip, even if your changing planes, the airline will transfer your bags to the final destination without your having to worry about it. However, if your changing airlines in the middle of your trip you must have some sort of proof of your final destination in writing from the connecting airline for your bags to be inter lined. Live and learn!
Now we both know!! 
