If the flight delay is weather related you are SOL and on your own. If the delay is mechanical or crew related the will give you hotel voucher. You also have to do some digging on your own and inquire. They do not always automatically hard out vouchers even when you are eligible.

Once doors are "closed" you have missed the flight even if the plane is still sitting there. If doors have not been closed, they will typically make every effort to get you on that plane has been my experience. Southwest is also one of the better airlines on holing flights for connecting passengers as long as possible. They would rather get you there then have to give you a hotel if possible.

If prior to departure you know you will miss your connection, ask to see of there is alternate routings.

I used to catch the last flight out of DSM to SJC and it was notoriously delayed often causing missed connection home. I would then work with GA and find another flight through PHX or DEN that had a mechanical delay and at least get half way home and have a hotel. You can use the system to your advantage to at least get a hotel room if you know the rules and have a cooperative GA.