I have had bags checked through from MCI-ORD-LHR (almost always on separate tix to save cash) with some odd combos--for instance, UA to BA interline, and AA to VA interline. I always wait with some trepidation, but bags have so far not failed to arrive.

Note that that was, however, prior to last year's mountain-o-bags at LHR. Not sure I'd do it after that... makes me more than a little nervous.

Especially since finding out that most travel insurances basically don't pay out for delays on your way back home.