I have lost Lydia, I lost her when starting the companions quest The Silver Hand because she was dismissed, after the quest I looked for her at my house in Falkreath (I have the Hearthfire DLC) and could not find her, I looked in Dragonsreach with the same results, I had a wedding at the temple of mara and she appeared at the wedding but left and I could not get to her. I also checked at Jorrvaskr to see if she stayed there but I did not find her, I even looked in the hall of the dead to see if she died but no luck. Is this a bug, I play on the Xbox 360 by the way. Let me clarify that the last time I saw her was at the wedding.
121 Answer
I was able to reload a save from the wedding to get her back, I will have to redo some quests but at least she's back.