Just once- but when we flew BA from LHR-YYZ and then connected to US-bound flights, the agent at LHR told us our bags were checked to ORD (our first stop in the US). I asked him how that could be since we would clear customs and immigration into the US at YYZ. He said we could pick the bags up in ORD. He was wrong, of course. We got to YYZ, our bags were in the baggage claim area, and we re-checked them and got through all the paperwork done before getting on the plane to ORD, which then landed at the domestc terminal. It worked well since we'd bought duty-free scotch at LHR and that gave us a chance to pack it in the checked bags before traveling onwards.