like PP something similar happened to me. I flew from Edinburgh to LAX via Amsterdam. My connection time was very tight, about 1 hour. My bags were checked straight through to LAX so I didn't have to go through security again. I ran through the airport and made my connecting flight to LAX. When I got to LAX my bag wasn't on the carousel. I went to the airline desk, gave them my details and the luggage collection tag. They found my bag on the system and it was still in Amsterdam, it hadn't made the connection. The airline gave me a tracking code and an automated phone number I could ring to check the progress of my bag. They took my hotel details and said it would be delivered to my hotel the next day.
I continued on my journey to my hotel, the shuttle bus driver was very confused I didn't have a suitcase, just my hand luggage! When I checked in at my hotel, I told them my case would be arriving some time the next day.
The next day I got up and went out and about. I felt very icky though as I didn't have any clean clothes, I just had the clothes I travelled in and I had no sunscreen. When I came back in the afternoon, my case was there, in the hotel reception.
That was 10 years ago and luckily that was the first and only time it has happened to me. As a result though, now every time I fly to America, I have a change of clothes and a travel wash-bag with sunscreen in my hand luggage, just in case.