Yup, I've had it happen to me at DCA twice and once at a smaller airport, but I can't remember exactly where (LIT?).

My worst experience was on AA, though. On the weekend before Christmas, I was flying FSM (Fort Smith, AR)-DFW-IAH. (Unfortunately, CO doesn't fly to FSM and NW's last flight out on the weekend is 11AM.) I had a 3 hr layover in DFW, because it would not let me book one with a ~25 minute layover. I ran to the gate at the short-layover and was told that I could get on the flight for a fee, but my bag would never make it. I decided not to pay, and went to the CO & DL lounges instead. When I got to IAH, my bag never made it. I was quite livid to find out that it was on the earlier flight that the GA promised me it couldn't make, even if I paid the fee