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Where's My Stuff?
If the worst happens and you can't find your bag when you land, file a claim before you leave the airport. Airlines have different policies on handling claims and tracking lost bags. The details are on their web sites.
The government says airlines must cover all expenses related to lost or delayed luggage up to $3,300 per passenger on domestic flights. The payback is higher for international flights.
The fine print: In their contracts of carriage—the official rules airlines have for how they get you where you want to go—most say that they won't reimburse you for the loss of very expensive things.
All the more reason to keep valuables with you instead of in your checked bags!
Your homeowner or rental insurance policy might cover lost luggage. See if it has a provision for that.
If the airlines' lost-luggage amount or your personal insurance is not enough to cover what you've got in checked bags, consider travel insurance to cover more. You can get a basic policy for about $40, but it can go considerably higher for more coverage.
When a lost bag is located (and most are indeed recovered), the airlines usually deliver it to you. Southwest will give you a travel credit for a future flight, if you save them the trip and pick up the bag yourself.
Send It Ahead?
Maybe it's worth it.
If you just don't want the hassle of dragging around checked bags and worrying whether they'll show up when you do, you might want to send them ahead by UPS, FedEx or other shipping companies.
It may cost more to ship some or all of your things than to check a couple of bags. You'll have to pack and plan ahead to get the best shipping rates. Overnight or express rates can be quite steep.
There's something to be said for door-to-door delivery, especially during the holidays when lugging lots of bags through crowded airports can be more than tiresome. You maywant to consider this option if you are driving somewhere and can send your bags ahead to where you'll be staying, perhaps to a willing friend or relative.
More about lost bags and personal items:
Luggage Land
Lost and Found