It's happened often enough that I've gotten in the habit of just walking by the BSO on my way to the claim belt and seeing if my luggage is waiting for me. Quite frankly, I love it when it happens since it gets me out of the airport that much quicker. But I've also been ticketing a number of "odd" itineraries -- either just for the extra segment or to avoid [spending more time than necessary in] ORD.

On a CR7 flight IAD-CLE a couple months ago the pilot announced that they were missing 30 bags -- initially we were going to return to the gate but someone decided it would be over an hour before all of the bags would be loaded, so "someone above us...not on this aircraft...has decided that they will be sent on a later flight...please don't take it out on us...but when you get to Cleveland you may need to stop by the Baggage office" (Being the first one off and to baggage claim I stopped by the BSO and they were like "would have been nice if someone had given us a warning")...