Firstly, check around the delivery address. The package may have been left hidden, out of sight; it is generally at the discretion of the driver to determine a suitable place to leave a package. Ask other people at the location if they received your package. You may also consider giving it some time; rarely, a package can be marked as delivered before it's actually dropped off at the delivery address.
If you've still not located your order, then the carrier needs to be contacted. How this is done depends on the carrier.
For USPS: Contact your local post office. Have all tracking info available. Be advised that not all service levels are eligible for lost package investigations, but at the very least, a mail search is something that can be initiated.
For UPS: Contact ABUCares. Lost package claims are best started by us; though the recipient may register a claim, UPS will sometimes push back on them and state that it has to come from the shipper.
In either case, we then have to wait for results. No additional shipments will be created in the meantime; we have to know that your order isn't still in the system somewhere before we ship anything else, and yes, this does happen!
If the carrier determines that the package was not delivered, or otherwise considered lost by some error of theirs, we'll then move forward with reshipment. We'll pack up your order again and send it to you, at no additional cost to you.
If the carrier determines that the package was delivered, then we will stand by this ruling and consider your order fulfilled. If you suspect theft of your order, we encourage you to file a police report. At the time it is accepted, we will consider disregarding the carrier's verdict.