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miklcct, this confuses a lot of people. For those who have trouble figuring this out, one simple way to picture it is to forget about the connecting airport completely. As others have pointed out, connecting flights are usually a logistical necessity.
For example, you can fly from Phoenix to Minneapolis on United, but not nonstop. The only way to do it is to connect in ORD (or another United hub). You might notice that PHX-ORD costs more than PHX-MSP with a connection in ORD. This is due to supply and demand. Pricing of the airfare has nothing to do with your PHX-MSP itinerary being routed through ORD. You are being sold a ticket with its airfare based on PHX-MSP.
It is certainly possible to buy a ticket for PHX-MSP if you want to go to ORD, but you are taking several risks. One, airlines do not allow this practice, technically speaking. However, there is often little they can do about it. You must have only carryon luggage, because any checked bag will be checked through to MSP. You will not see it at ORD. (Note: there are exceptions to this, such as if you are flying into the US from an international destination.)
Another risk is that you could be rerouted. For example, you could also fly PHX-MSP on United via IAH. If one of your original flights is canceled or delayed, United might issue you a new routing via IAH. Because United's responsibility is to get you from Phoenix to Minneapolis, they have no obligation to connect you in Chicago. There would be nothing you could do about it.