If you have booked two or more connecting flights within the same booking and they are operated by the same airline (or the airlines are part of the same alliance such as SkyTeam, Star Alliance or OneWorld), your baggage will be sent to your final destination.
The main exception to this is if you are travelling to the US or Canada from an airport outside of the US or Canada where you will be required to collect your baggage at the first point of entry and check it in again, no matter the destination of your connecting flight.
You might need to check-in the baggage a second time in the case you have connecting flights operated by different airlines, even though most of the airlines have agreements between them to avoid that situation.
If your connecting flights are operated by different low-cost carriers, you will also have to claim your baggage at each airport and check them back in again for the next flight.
It is always advisable to confirm at the check-in desk, whether your baggage needs to be collected at your connecting airport.