Booking a trip with 2 separate Airlines...connecting on different carriers

Although this may sometimes be cheaper to book a trip using two separate carriers there are set backs, if the 2 Airlines are not willing or do not have an agreement [called an Interline agreement] with each other your bags will only be checked to the first destination and unless you have about 2 hours between flights to collect your bags and re check them in with the second airline [and on international flights go through customs and immigration] you will run the risk of missing your connecting flight.This does not apply to a booking agency or Airline that books you on a partner airline and in the same reservation.