Here's then way it was explained to me by an airline marketing chappess. Say you want to fly live near Manchester to and you wish to fly to Milan. You start your search on the internet. It won't take long before before you find that a) Manchester could mean Leeds/Bradford, Liverpool as well as Manchester itself and b) Milan could mean Linate, Malpensa, Bergamo etc. Do you want a flexible ticket? Do you want to fight the other bastards for a seat in the boarding scrum? Do you want cabin crew comprised of poor East European girls with dreadful T's & C's ("who've overdosed on Sunny Delight..." throwing baked beans at you) or would you like a little (relative) comfort? Now you find that there are direct flights and some that are not. Oh yes please - I'll have the direct flight! But Jeez, what a price!
So to compete with some of the direct flights, those offering in-direct flights will use price as one of their marketing tools. Invariably, these will be the larger traditional airlines so you'll be routing via LHR/CDG/FRA/AMS. When you look at the ticket price, you may well find that that you'll be paying less to do your two flights than someone flying direct from the transfer hub you pass through.
Word of warning though - you MUST fly your ticket in the order of sectors as purchased. You have to do the first and last sectors. Yes, it's totally bonkers and no I can't justify it. But that's the system.