"Checked through" does NOT mean you don't have to collect your luggage somewhere in between! Any time you arrive in the USA, you ALWAYS have to collect your suitcase at the first point of entry, take it thru Customs, and then return it to the airline you're flying with. The luggage will be checked to your final destination in these cases.
Example: you fly London-New York-Memphis. Your luggage will be checked all the way to Memphis. But Customs and Immigration will in New York. You pick up your suitcase there, take it thru Customs, then hand it back to the airline right after the Customs inspection. This is the exact same procedure at all U.S. airports.
Post #11# has a point there. If you're doing three flights and two of them are in one country - you "May", but not always, have to pick up your luggage at the country's point of entry. However, it's not always the case in the UK. If you're flying, for example, to Manchester from the USA and you have to change planes at London Heathrow, your luggage should be checked right through from the USA to Manchester - without you having to mess about with it in London. However, that will only be the case if your baggage has LHR and MAN on the ticket.
Similar situation in Canada. You're luggage can be checked through, but you may have to pick it up and recheck it. It all depends on where you land and where you are going to.
Usually the flight attendants will tell you what is required before you land. I ALWAYS reconfirm with someone who works at the airport. The locals will always have the best information.
All that being said, sometimes your luggage gets a different trip than you. Always pack a toothbrush and some deodorant in your carry on!
I did Manchester to Winnipeg - via Toronto and Thunder Bay, on 3 different airlines. I picked up my bag in Winnipeg without having to re-check it in at any of the other two airports.
On another occasion, I flew Manchester to Winnipeg - via Schiphol and had to re-check my bags through.
As stated... You "May have to".