In case you have a booking involving connecting flights, your baggage will be directly sent to the final destination of your travel. But if you are travelling to Canada or the US which is not within the US or Canada, you should collect your baggage at the first point of entry. Once there, you will have to check-in the baggage again at the transit airport.
If you have connecting flights booked on separate tickets, you might not receive your baggage at your final destination. For connecting flights that are run by low-cost carriers, your baggage claim will happen at every airport and you will have to check-in your baggage every time you move for the next flight.