Assuming all legs are on a single ticket, you will certainly pick up your bags at the last airport. Often (if not usually), when you clear Customs and Immigration at an airport in the middle of the trip, you'll claim your bags there, too, to clear Customs (although there are increasing exceptions, such as at many airports in Canada).
Also, if you have an overnight connection, you can often have your bags checked to be picked up at your connecting airport, so that you can have access to your toiletries and clothes.
Otherwise, you can request what's called short checking - your bags being available at a connecting airport, even though they usually wouldn't be - although the airline may not be willing to do this. They may not allow this, to prevent what is called hidden city ticketing, where people abandon flights early to get lower fares compared to booking to the airport they really wanted.