Checking bag on separate tickets
 

I'm flying KLM business ORD>AMS in a few weeks and just booked a separate economy ticket to MUC. I usually fly BA and they force you to clear immigration and recheck your bags on separate tickets. Will I be able to check in at Chicago and have the bags checked all the way to Munich, or can I call KLM and merge PNRs?

I suppose the separate flight to MUC is on KL too ?
If yes, it should be no problem. But you always have to be prepared for an agent saying no because of a bad mood or because not trained for that (although it takes less than a minute for a trained agent to do it).
Also, you cannot merge 2 PNR. You can annotate them to refer the other one but this is totally useless and do not add any protection in case of mis-connection.
Finally, when you connect in AMS, stop at a customer service desk and show them your bag receipt and BP to MUC so they can double check that the bag info is indicated in your 2nd PNR (otherwise, your bag may not be loaded on the 2nd file).

Is your second ticket on KL?

If all on KL, usually no problem, if on other airline, Nope..

Thanks, both flights are on KLM, so I'll keep my hopes up.

usually it works (and the other way around too DL to AFKL). DL has officially published 2 or 3 years ago a very limited list of ST airlines for which they agree to check bags on separate tickets (not all ST airlines are in). There is a thread about this on FT. AF & KL are part of this list thanks to the transatlantic JV. But you are still unprotected in case of misconnection.