To be sure about what will happen to your baggage during your layover, always ask the airline staff what will happen to your baggage when checking in for your first flight. For international layover flights, you will normally have to go through customs and immigration at the connecting airport.

When you have an international layover, the location where you go through customs depends heavily on your final destination and the "port of entry" rules of that country. If you are flying into the United States from an international location and have a connecting domestic flight (e.g., London to New York to Chicago), you must clear Customs and Border Protection at your first point of entry (in this case, New York). You must collect your checked bags, pass through customs, and then re-check them for your next flight. However, if you are transiting through an international hub to a third country (e.g., New York to Dubai to Mumbai), you typically stay in the "international transit area" and do not clear customs in Dubai; your bags are usually checked through to your final destination. In the European Union (Schengen Area), if you land in Paris on your way to Rome, you will go through passport control (immigration) in Paris, but your customs check (baggage) usually happens at your final destination, Rome. Always check if your transit airport requires a "transit visa," as some countries require you to clear a form of security or immigration even if you aren't leaving the airport.