Usually I find a flight I like that uses one or more connections with the same or different companies. In these cases, if the distance between the first and the second connection is not too large, I prefer to go by bus or train and then take the flight. The problem is that sometimes it is more expensive to take the flight in the second airport than to take the flight from the first one. I mean, I'm wondering why sometimes it is more expensive to take only a flight than to take the same flight and another one.

A practical example (and real, you can check with SkyScanner). Imagine I am in Madrid (Spain) and would like to go to Rio de Janeiro (Brazil) on April 1st. The cheapest flight I have found is this:

TAM airlines: MAD -> GRU -> GIG : 507 €

Fantastic! GRU is one of São Paulo's airports. That's perfect for me! I'll go on to Rio traveling overland. But then, I look for this flight (MAD -> GRU, non-stop):

TAM airlines: MAD -> GRU : 597 €

It's the same flight, 90 € more expensive! I've found this kind of behavior a lot of times and I'm intrigued to know why it happens.