I've only lost a bag once, but it actually made it to the airport within 4 hours.

It took me over 72 to get it, because no-one seemed to want to do anything. If you are dealing with an automated system call the airline direct until you get a human being. In my case when I finally got a human he was able to poorly communicate that my bag had been scanned at YYZ 4h after I landed and then deliver it.

I'm not sure I'd have gotten it if I hadn't chased.

Mine was with UA, I think it was ORD it got stuck at actually despite having a 1-2h connection. Since then I use a trackdot if I check a bag.