I will be travelling to Buffalo, NY via Qatar airlines from Malaysia. Its like K.Lumpur -> Doha -> JFK, NY -> Buffalo, NY. I'm flying under a code sharing flight between Qatar n Jetblue from JFK to Buffalo. Do I have to reclaim my luggage n re check all over again upon my first arrival at JFK airport?
That is how the US system operates. You clear immigration and customs at the first place of arrival. You need your luggage to pass through customs, thus you must recheck your luggage. In my experience it has always been tagged to it's final destination, rechecking simply involves dropping it at counter or sometimes just a belt. I've never waited more than 30 seconds at that only when there was an equipment malfunction.
The US does not have any outgoing border controls, period. The only reason you have to even show a passport to get on an international flight is because the airline doesn't want to get in trouble for bringing an inadmissible passenger to the destination. In the time before the security crackdown that followed 9/11 you could walk right up to an international departure gate without a passport. Even these days I have walked from an international departure gate to outside the airport (showing nothing at all) and back (showing my passport and boarding pass--but ID and boarding pass would have been fine.)
Because of this there is no way to handle transit passengers. You can't keep them from walking away from the gate, thus you have to actually admit them before you let them get to that gate.