Having your cell phone stolen can be a frustrating and difficult experience. Depending upon what location-based services your phone uses, you may be able to track down its current location; however, in many cases, this may not be a wise idea.
Make Sure Your Phone Is Stolen
First, make sure that someone actually stole your phone, and that it's not simply misplaced in the pockets of one of your bags, or fallen behind a piece of furniture. Use your landline (or a borrowed cell phone) and call your own number repeatedly, then listen for a ring from anywhere it might be located. Even if your ringer is turned off, you may be able to hear it from the sound of the vibrator against a hard surface. If your phone is merely lost but not stolen, and has been found by someone who intends to return it, with any luck they'll pick up on the ring and let you know where it is.
Finding a Stolen Phone
If you can't find the phone, and no one answered your calls, it may be possible to locate it using GPS services within your phone. This requires you to have already signed up with a locator service, such as Apple's Find My iPhone program, or Google Latitude. Think back to any applications you may have used, or mobile websites you may have tried, which used your location to tell you about nearby restaurants or sightseeing. If your phone is still registered with any of these services, most likely you can still retrieve the location of the phone from there if the application is still active.
An alternative is to contact your phone company; even when the phone is not GPS-enabled, all U.S. phone companies are able to determine the position of your phone using cell tower triangulation. This is used to give your location to the police when you dial 911, and it can also be used to find your phone after your phone's disappearance. The problem: most phone companies will not give you your phone's location, to avoid lawsuits stemming from confrontations between their customers and people they accuse (however rightly) of being thieves. They can, however, shut down your phone so you're not liable for charges from calls made on the phone.
Should You Really Look for a Stolen Phone?
If someone else has your phone, there are two possibilities. Either they intend to return it, in which case they'll call you, or they intend to steal it, in which case finding them and asking for the phone back could be a dangerous course of action. If you're sure the last time you had your phone was in a restaurant, and now the phone is halfway across town, you may be able to ask the police to try to retrieve it for you if you can provide its current location. But if they can't help, this probably isn't something you should try on your own.