That depends, in Philadelphia, even if it's the same airline, you have to pick up your baggage and re check it.
Also, consider things like duty free bought in departing airport - that needs to be placed in a checked bag for an onward flight.
Sorry, didn't meant ot confuse, that Yes, that's what I meant about connecting in the US on the way back.
I was referring to connecting in the UK on the way back about bags being checked all the way through.
So if the poster say went on US Airways: LA to Philly then to Manchester (Bags checked all the way through, Border Control in Manchester) and then Manchester to Philly to LA - Then it would be immigration in Philly, pick up the bag and re-check and then continue to LA on domestic flight
But if it were LA to LHR to Manchester on British Airways and then return Manchester to LHR to LA - it would be- bag checked all the way through to Manchester, but immigration at Heathrow. Way home it would be -bag checked all the way through to LA, and US immigration in LA.
Bets are all off if its a different airline or having to change airports