I just experienced the same. DEN-SJC 11pm arrivial. They say the bag will be on the first flight from DEN in the morning (10am). I'm OK with that. Here comes 2pm and no bag. I call the UA Baggage number. I'm assured that the bag was on the 10am flight. No will pick up the phone in SJC so they leave an urgent message to call me with its status. Now its 3:30pm no call. I call the 1K desk they get in touch with SJC and they are trying to find my bag and will call me in 15 min. Now its 5pm., no call. I call 1K again (and get someone in Chicago). After they call a few people (in SJ), my bag will be delivered in 4 hours. Not good enough for me since they screwed around all day with my bag. I push the issue and I get my bag in 1 hour.

The best way to complain is the UA website. Go to Customer Service and email a complaint. I'm not looking for compensation but when you complain through this process, I usually get some mile deposited in my MP account. They never tell me they are given me miles, its usually just a suprise.