I recently saw a lecture on a proposal for an upcoming space mission and the speaker mentioned the contractors at Lockheed working on the proposal several times. I remember because it kind of stood out to me that they're involved from the start.
A lot of large launches are done by United Launch Alliance (ULA), which is a Boeing/Lockheed-Martin consortium. (I.e., they provide the rocket and the launch facilities -- for instance, they did all the Shuttle launches, as well as the MSL launch.) You'd have to involve them at an early stage to get costing worked out.
There's a second consortium, also Boeing/Lockheed-Martin, that does manned space operations for Shuttle (formerly) and for Station. (Operations = flight control from the ground, post-launch. E.g., rotating the solar panels on Station.) That one is called United Space Alliance, or USA for short. Catchy, no? ;-) AFAIK, USA does not play any role in unmanned operations.
As the GP pointed out, there is a lot of money in launches, launch vehicles, and in manned operations, hence the contractor involvement. As you can guess -- you can't even play Boeing off against Lockheed-Martin because they're in a consortium -- that world is kind of creaky. SpaceX is disrupting ULA big-time.
Lockheed-Martin is also involved in instrument design and other non-launch activities. Getting an instrument into space is a multifaceted affair.
Here's a good example. Juno, a spacecraft currently on its way to Jupiter:
Managed by JPL, spacecraft by Lockheed-Martin, science PI is at SWIRI, instruments from all over. And this is a "medium-size" mission, not a "flagship" mission like MSL or James Webb.
