Normally the luggage is sent on the next flight or combinaiton of flights to get it to its final destination. Once, in ORD, I succesfully asked for and received my checked luggage at some lower level baggage.

And for the true but sarcastic part of my answer - if your luggage is on the ground and in AA's hands long enough you will only receive a portion of what you actually checked in. At least in MIA, LAX or PHX.