For the majority of international flights with an immediate connection, your baggage will be tagged to your destination country if you are travelling on the same airline or on an inter-carrier agreement eg. KLM/Air France.
There are a number of exceptions to this rule.
1. When travelling to the USA, you will need to collect your baggage at the first entry point and clear US immigration, then follow the transfer signs to re-check your baggage for your next flight.
2. If you are travelling on separate tickets you may need to re-check your baggage.
If in doubt ask at the check-in desk and check the baggage tag information.