I did have a situation in the past in which one of my bags never showed up at the port of entry. I assumed it had been lost and then went to my connecting flight. Somehow the bag made it through and was delivered with all of the other checked baggage from the connecting flight. I still have no idea exactly how that bag got from ATH to RDU, but it did. This was pre-9/11, so customs may not have been as zealous as they presently are.