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When your tickets are from the same group, like Star Alliance, it is no problem and you can check your baggage thru everywhere. Getting all the boarding cards at the first checkin may be a problem. For example I could not get the boarding card for my Lufthansa commuter flight in Germany, when i checked in in Chiang Mai, but could get my baggage checked thru easily.
On the other hand, I think there are some restrictions after 9/11, when they cannot be sure, that you will take the same plane as your baggage. Normally, when you are not boarding, your baggage will be unloaded, this takes some time, will delay the flight and is not for free for the airline.
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