If you're doing an international -> domestic connection, you have to remember that most people on the second flight will be on a purely domestic itinerary, and won't expect to be seeing anything to do with immigration or customs at either end. But if you're coming in from overseas, you have to clear immigration and customs - hence the usual place to do it is at your first port of call in the destination country. That involves you claiming your bags and passing through the customs border, and then handing your bags back to the airline.
If you're connecting domestic -> international, customs is usually not interested in your bags, so they can be taken by the airline directly to your second flight.
If you're connecting international -> international, most airports have facilities to ensure that you and your bags can stay airside of the immigration and customs barriers, so that your bags can be automatically transferred without you having to collect them. But some places (notably the US) will not permit a direct airside transfer, so you have to clear immigration and customs at your US transfer point even if you are making an international -> international connection.
There are, of course, always exceptions to this. If you fly internationally to LHR and then transfer to, say, EDI, you will clear immigration at the Flight Connections Centre at LHR but your bags now go directly to your domestic flight. Theoretically, you collect your bags and clear customs in EDI - although reports suggest that there are seldom any customs people physically present to inspect your bags there.
And if you fly internationally to Australia and transfer to a domestic flight operating between international terminals (usually a domestic leg of an international flight), your bags should get automatically transferred, so that you clear both immigration and customs when you arrive at the second destination.