How do I find my follower if and when they leave me?

Nevermind. It seems that the follower simply goes home where you can recruit them again. The follower still has all items.

In case of Lydia:

If you use mods, it seems possible for the follower to end up in other places. After searching for hours I once found Lydia in jail by finally using console command to teleport to her. I believe that this was an effect of Ultimate Follower Overhaul mod for PC.

I had an issue with this on PC version. I told Lydia to wait. Previously, she had spawned back in Dragonsreach but for some reason this time she did not. So... I used a console command to move myself to her. Oddly enough, it ported me right to the keep in Dragonsreach (where I was already when I used the command... and where I expected her to be) and everything seemed fine afterwards. Seems to me like there is some kind of bug relating to this considering she had not died and she suddenly appeared only after I used the command to move to her. The command is: player.moveto

I suggest you save your game prior to using this command... also... don't use it while mounted... I did... and I think because it ported me inside... it then proceeded to crash not just my game but my computer and had to reboot. You can find the RefID for NPCs here:

http://www.uesp.net/wiki/Category:Skyrim-NPCs

If you are not on the PC version I would suggest what Mark Trapp mentioned.

For PC, you can enter console commands (get to the console by pressing the tilde key, which is ` or ~ on your keyboard, usually under the Esc key and to the left of the 1 key):

prid <RefID>
moveto player

They get lost a lot so I do this a lot. I just memorize the RefID. Like for example, Lydia's RefID is a2c94 and Iona is a2c93

So for example, to move Iona to me, I put in:

prid a2c93
moveto player

Sometimes, you have to enter it twice. Like this:

prid a2c93
moveto player
prid a2c93
moveto player

Sometimes, they might have died. then you need to resurrect them. So do this:

resurrect
prid a2c93
moveto player

NOTE: if you resurrect them it will remove all their inventory! If they had items, it's better to go to a previous save where they have not died!

NOTE: If you press the up-arrow on your keyboard it goes to commands you typed previously. However, when you close the game then your command history is erased.

Followers will wait for you up to 3 days at the location you instructed them to.

Once your 3 days are up, you'll get the "Your follower tires of waiting and leaves" message, they will return to the location you initially "hired" them from.

In case of Housecarls, like Lydia, they will either return to the keep in their respective cities, or your home in said city (assuming you purchased one).

In case of mercenaries, they'll just return to the bar/inn/where-ever you hired them from.

Friends that become your companions return to their hometown and continue their daily NPC cycle.

Console commands

If you're playing on the PC, try teleporting your follower to your location through console commands. This is easier and faster (no loading screens) than going to your follower's location and getting him or her to follow you again.

Console commands to teleport your follower to the player's current location:
prid <RefID>
moveto player

prid targets an entity - your follower in this case. Search for your follower's RefID at the UESP wiki's "Followers" article.

(Another method to target instead of using prid <refID> is to open up the console and then click on an entity, this will automatically do prid <RefID> for the clicked entity. However, this method won't be useful in your situation as the follower is not near your vicinity, and can't be clicked on.)

moveto player moves the targeted entity near the vicinity of the player.

Your follower should now be near you after doing this. If for some weird reason, they are dead (happens sometimes), use the console command resurrect 1. Your follower should go back to life.

If for another weird reason, your follower is still not near your vicinity after doing this, they may have been "disabled" from the game (might happen with NPCs that are long dead), making them not appear in the game. Type enable in the console to remedy this. If your follower still isn't up, type resurrect 1 again.

More info on console commands at the UESP wiki's "Console" article.

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Platforms that do not support console commands

This is to add to the other answers, which suggest looking for your followers in their default locations, like where you initially hired them, or their homes, following their default NPC schedules.

If you can't find them in their default locations, also look at the jails of the various cities or holds. An answer in Lydia goes to jail suggests that followers can be arrested and jailed. If arrested, they will make the jail their new "home."

With the Hearthfire DLC, if you've made your follower the personal steward of one of your houses, then look for your follower at that house.

If you've recruited your follower to join the Blades, then look for them at Sky Haven Temple.

They go back to where they came from, or sometimes if you go there too fast, they are still on their way back (really doubtful they almost teleport) or if you haven't received the message saying they got tired, and you go where you left them, they died.