This can happen if you've asked them to 'wait' somewhere, and forgotten where, or if they get stuck on something/ get bugged.
On console:
If they are stuck on something, quick traveling will make them travel with you.
If you've asked them to wait, hire another companion, and then you can find them again at their default spot/ where you hired them from (eg Layla will appear in your Whiterun house after you buy it).
On PC:
(try the simpler console methods above first)
Reload a game where your follower is with you.
Type in 'prid putfolloweridhere' (selects any object in the game)
Hit enter.
Followed by 'moveto player' (moves that object to your location)
Then hit enter, and they should be moved to you. Close the console again by pressing the `/~ key.
Example: to move Erandur to your location:
Type: `
Type: prid 00024280 (enter)
Type: moveto player (enter)
Type: `
Erandur will appear next to you.
Followers moved with this method will still have all their items etc from last time you saw them.
Chat with our AI personalities
If you dont have one, go up to someone that you can hire, and talk to them. There will be an option to hire them usually for 500 gold. If you already have a follower and want a new one, talk to the old one and choose the option to tell her its time to part ways. Then you are free to go choose another follower. If you try to hire a new one and havent fired the old one, the person you are trying to hire will say oh, you already have somebody.
try waiting, fast traveling, and entering a building or cave. if none of those works, then try getting another follower to follow you, but if they claim that you still have one, then i dont think there's anything you can do. I had the same problem with Farkas.
There is a way actually, I have had to do this twice. Return to where ever you originally found them, for example I have the follower Benor and when I "lose" him I can return to Morthal and wait and the Moorside Inn for him and if he is not already there, he soon will be. Then just talk to them and tell them that you need them to follow you again. Sometimes there is more than one place that they "hang out", they may be at home or their favorite hangout. For Benor it's the Inn, but he lives at the Barracks so you may even find him there. If all else fails, don't forget to try waiting! And just for the record, saving in this game is NOT over-rated...Do it OFTEN!
One follower (for hire) can often be found in a pub/bar. Others become available through quests. This website has the complete list of followers and where each one can be found (or how to start the quest to get them).