In two decades of bike commuting, I've had my bicycle stolen three times, and with a lot of effort and a lot of luck I've recovered it all three times.
#1: I was 19 and had ridden it to a local swimming hole, stashing it in the woods. That sounds dumb, but this was in a county of only 4,000 residents, so you didn't expect much theft. When I came back, it was gone.
How it was recovered: that same day, I went to every house within a mile and asked if anyone had seen it. Four days later, a dad and his son showed up, saying they'd found it abandoned in some woods.
#2: (same bike, a decade later) I parked it behind my house, out of sight of the street. I started out locking it, but over the years I got to be relaxed about it. One morning about 7 AM I hard footsteps and a bike being wheeled down my driveway. It was a shared driveway with my neighbor, and he was also a biker, so I figured he was just heading out early. Nope, that was my bike being stolen. I never found out if the thief knew it was back there or wandered back and happened upon it.
How it was recovered: I live in a smallish city (300,000), and figured if I just kept my eyes open, I'd see it eventually. It became a habit to scan a bike rack whenever I walked by or locked up. Sure enough, two years later there it was, right next to me as I locked up my new bike. It still had the registration stickers from my college on it, so it was easy to ID with the police. It turned out that the current owner had bought it from a pawnshop. She ended up being the true victim, as I got my bike back and she didn't get her money.
#3, eight years later: I had run to the library to pick up a book, only to find that my lock, which always lived in my bag, had been left in my daughter's bike trailer after a weekend excursion. I stashed my bike in the middle of the rack, jammed in between two others. No one can tell it's unlocked, right? Wrong. I came out ten minutes later and it was gone.
How it was recovered: I mailed a picture of my bike to every local listserve. About a week later, a woman wrote me saying she thought she'd seen it on a porch in her neighborhood. "Great!" I thought, and asked her what the address was. Then the conversation started to feel strange, and she eventually stopped replying to my messages. Two weeks later, she finally replied, sending a picture of the bike. It was definitely mine, as I had installed some custom parts and stickers. When I wrote that I was absolutely positively sure it was my bike, she finally gave me the address -- it turned out it wasn't a "neighbor" but a young married couple with whom she was sharing her apartment.
I decided to ask the police to come with me when I went to recover it, which they very kindly did. The husband who had stolen the bike wasn't home, but his wife was. She claimed he'd "found it on the side of the road with a free sign," and that "he would never steal." Clearly hogwash, but in the end, I didn't press charges for two reasons. I went back with a police officer to talk to the couple, and it was very clear they were terrified. He was a young teacher and being convicted of this crime would end that career. My gut instinct was that they weren't habitual thieves. They were both smart, college educated, but just getting started in their lives and without much money. He clearly really wanted my bike. (For the record, it was a semi-desirable fixed gear road bike). He'd fixed up a few worn parts, replaced others with ones that matched his style, etc. In the end, I decided to believe that it was a one-time crime of passion and to let him go with a stern talking-to from the police and a pointer towards the local bike co-op where he could build up his own bike.
Phew, long story. Anyway, if you lose something ... keep trying!