In 2012, about 1.8 million bags were damaged, lost, or stolen by major U.S. carriers. While that may seem like a lot of lost luggage -- it's roughly 1 bungled bag per 333 travelers -- it's actually 2.5 times less than the 4.5 million pieces of luggage that were damaged or lost five years prior [source: Yogerst].
Most lost bags are just delayed, usually accidentally loaded onto a different flight (maybe to your destination, but maybe not). However mishandled, a missing bag is a missing bag and there are a few steps you can take to help get your luggage back, or at least get reimbursed for damage or loss.
The most important thing to do when your bag fails to arrive at baggage claim -- or if it arrives damaged -- is report the problem to the airline. Don't leave the airport without filing a report (get a copy) and getting a phone number for follow-up. Also, don't be shy about asking for reimbursement for emergency costs. The airline representative is also likely allowed to cover some additional expenses you may have while your luggage is being tracked down, or can tell you how to go about being reimbursed for them later (each airline will have its own reimbursement rules).
Airlines will search for your luggage but it won't be fast. Expect to wait anywhere between a week to a month or more before your case is closed and your bags are either returned or declared officially lost. Expect more paperwork if your bag is determined permanently gone, this time to estimate the bag's value. Since 2009, the baggage liability limit (that's the maximum they'll reimburse you for a lost checked bag) is $3,300 per passenger traveling on a domestic flight and $1,500 per passenger traveling on an international flight [source: Yogerst].