While searching through flight options I've come accross the occasional DCA/IAD or JFK/LGA connection. I've never booked one of these, but was curious about what happens to checked luggage.

My two guesses:

1) They only allow you to check it through to the connection point and you are responsable for getting it to the co-terminal and re-checked.

2) They check it through to the destination, but you will have several conversations with the baggage services folks before your luggage finally finds its way back to you.