A friend of mine did this in the summer of 2004. She was inbound from Korea on China Eastern and continued to Germany on Lufthansa.
MU and LH do not have an interline agreement, so she was unable to check her bags through all the way to Germany. She had to check-in again in PVG for the LH flight. Since she had no visa, this involved quite a lot of begging at immigration, apparently. In the end, the fact that she could present a valid (paper) ticket onward to Germany on a flight leaving a few hours later led to Chinese immigration relenting (after almost an hour).
Had MU been able to check her bags through to LH, she could have just gotten a boarding pass airside and it would have been an easy connection.
The important thing is to choose two airlines that have interline or even boarding pass issue agreements, then the connection is no problem at all.
As always, YMMV, especially depending on the passport you're travelling on.