[ihaveajob]

The Madrid airport offered this service, but it wasn't very popular, nor widely known. You checked in your luggage downtown and hopped on the subway to get to the airport with just your carry-on. I can't find any reference now, so it must have been discontinued.

[avidiax]

You can do something fairly similar in Japan. They have luggage shipping services that are quite cheap and reliable, and have some days of storage built in. So you can take a train between cities without carrying everything, or maybe skip your big luggage at one city in your itinerary and have it at your hotel in the next city. You could also deliver it to the airport, but you have to build in some hours of lead time.