It has happened to me many times, and I don't mind at all.
Usually it happened when I was flying X-C, with a connect @ ORD, and I either mis-connect or get bumped. Instead of me flying ORD-LAS direct, I may fly ORD-LAX-LAS. Many times, I have arrived in LAS only to find my bags have beat me!

It saves waiting 15-30 minutes for the luggage to get off the plane!