on one of my Star-rtw I did (and redid a second time):
COS-DEN-ASE-DEN-COS-DEN-SFO
I was sure, that the bags wouldn't make it back to DEN at ASE in time, as I booked and took the return flight right away, with only about a 15 minutes 'stay' at ASE and asked at check-in at COS to put the bags on the 'direct' routing COS-DEN-SFO. Only after about a friendly 15 miutes discussion with the supervisor they complied and did it (this was days before sep-11, not sure if they would still do it now - but the bags would just wait at DEN for me, not flying on any aircraft without me on board.