We arrive in Athens in 2 weeks on Continental nonstop from Newark at 10:20 am. Then our flight on Aegean Air for Santorini leaves at 12:40 pm. I think this will be enough time to make the flight. My question is should we ask Continental to send our bags to Aegean Air or should we pick up the luggage in Athens and then check it ourselves at Aegean Air? I do not want the luggage to get lost but then I do not want to be running with it through the airport to make the next flight. Any suggestions from anyone who has done this?

That's plenty of time to collect your bags and go upstairs to the Aegean Ticket counter to check in. You can't ask Continental to transfer your bags to Aegean because your point of entry in Greece is Athens, not Santorini, so you'll have to go through "Passport Control and Customs" there. But don't worry, it only takes a little while, the Greek Immigration/Passport/Customs process is practically non-existent. The last two times I went to Greece no one asked to see my passport or inspect my bags. I got off the plane, went to collect my bags and walked right out of the arrival hall without anyone stopping me. And as far as I know this is normal.

Athens airport is NOT Charles DeGaulle (Thank Dieu!). It isn't Gigantic... And the domestic air section is simply "down the hall" from International.

Pick up your luggage & check it in yourselves at Aegean. I'm not at all sure that other airlines WILL send the bags, and I'd rather not chance it. I have done this at least 3 times with Aegean.

PLUS, the whole process in Athens is much faster than other airports somehow.

<<< You can't ask Continental to transfer your bags to Aegean because your point of entry in Greece is Athens, not Santorini, so you'll have to go through "Passport Control and Customs" there >>>

Why not? Interlining luggage from international to domestic flights is done all the time at airports outside the US.

Because technically when you are entering a foreign country you have to go through Immigration and Customs, and in Greece you do that in Athens unless you're on a charter flight to a particular island and they're set up to receive foreigners at an Immigration desk, which won't be the case on Santorini.

Rubbish - the only thing that has to go through immigration is YOU, your luggage can be checked through to a final domestic destination in most of world outside the US

It's not rubbish as far as Olympic and Aegean are concerned. Regardless of why, as far as I know they have no reciprocity with any other airlines for baggage transfer to domestic flights. The only exception I can think of would be if you were flying into Athens from a foreign location using Olympic or Aegean, and even then I'm not sure. I once asked Olympic to transfer bags to an Aegean flight to one of the islands and they told me no. They told me that I had to collect my bag in Athens and recheck it myself.

If anyone has any other experiences to shed light on this I'd like to know what they are.