From Great Lakes Airlines Web Site:

If you are connecting to any of the airlines listed below, Great Lakes Airlines will gladly check your bags through to your destination as long as you have proof that you are holding a confirmed ticket on that airline.

Please Note that if you do not  have proof with you at the time of check in or if you are connecting to a carrier not on this list, your bags will only be checked to our Hub and you will be required to claim them at the baggage claim and recheck them with your connecting carrier.

For additional Information, please contact the Great Lakes Airlines Reservation Center @ 800-554-5111.

STL AIRLINES WITH GREAT LAKES AIRLINES BAGGAGE HANDLING AGREEMENTS
                American Airlines
                Continental/Continental Express
                 Delta/Delta Connection
                 Frontier Airlines
                 Northwest/Northwest Airlink
                 United/United Express
                 US Airways/US Airways Express
                 Midwest Connect

STL AIRLINES WITHOUT GREAT LAKES AIRLINES BAGGAGE HANDLING AGREEMENT
                   Air Canada/Air Canada Jazz
                   Air Tran
                   Champion
                   Southwest
                   USA 3000