If you're on a through ticket, you're fine b/c it's covered once it's been checked in. If you have separate PNRs where you need to collect and then re-check your luggage, yes it can be very expensive. Having elite status makes this a bit easier. If you're connecting to an LCC within Europe for example, you'd be better to pack for the lowest common denominator in terms of allowed luggage b/c they may make you leave something behind without giving you the option to pay a surcharge.

Luggage restrictions are airline policy not any sort of regulation. The weight limit PER bag is for safety purposes, there is usually a buffer between the max allowed and the max permitted with surcharge. In the latter case, the bag is tagged as heavy so the baggage folks know they need help or it'll be that much heavier than the other bags. The # of bags is limited because there is only so much room underneath, and it costs the airline $ in fuel to carry all that weight and baggage.

BTW - all airlines have a piece restriction accompanied by some sort of weight restriction. The limits may differ, but they're there.