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If your suitcase does not make it on the baggage carousel, don't lose heart, or your temper. It is probably not gone forever, just delayed.
When this happens, airlines do everything they can to locate your bag and get it to you within 24 hours. They want to do this for obvious reasons, but also because if you are without your bag for 24 hours, you get to go shopping for items you would need to get through your day (some night apparel, hygiene products, etc.) on the airline's dime.
Some airlines will reimburse you for the inconvenience, but just make sure you know their rules and save all your receipts if you end up in this situation.
Domestic flights are generally going to be less complicated when it comes to delayed luggage. If you are traveling internationally, and/or on a few different airlines, it may take longer and the rules may vary depending on the airline.
When the plane has been unloaded and your luggage has not appeared, immediately head to the baggage department for that airline. It is best if you can do this in person, but if not, call as soon as you can. You will be given a claim number, most likely, as well as a copy of the airline's rules and information about the process.
The more details you can provide about your luggage, the better. What is the color, brand, approximate size? What was inside your bag? Stay in touch with the airline and in most cases, they will find your bag.