Remain as calm as possible.  There's lots you can do:

1. First, search everywhere inside your house and in your yard.  There's lots of places where your pet might be hiding or sleeping.  Check your basement, attic, crawl spaces, inside cupboards and closets, underneath furniture, etc. Look high and low, in nooks and crannies. Use treats, shake a food dish or a toy to try and bring them out if they are hiding. Call their name while you are looking.
2. If no luck finding your pet in your house or in your yard or garage, walk and/or drive around your neighborhood to see if you can spot them. Bring a recent photo to show neighbors and to let them know your pet is missing so that they can keep an eye out for them, too. Check in garages, under porches, in shrubs, etc. Call your pet's name while you are looking. They may hear you and come to you.
3. Contact all your local animal shelters to let them know your animal is missing, send/give them a photo and description of your pet (breed, age, sex, weight, color, identifying marks, etc.) along with your contact information in case your pet ends up at the shelter.
4. Post your lost pet on social media - your own Facebook page, on local shelters' pages, on neighborhood lost pet pages, etc. Ask everyone to share it on their pages.
5. Go to Pawboost and use their resources to print out a lost pet flyer.  Print out flyers using a recent photo that clearly shows your pet, include breed, age, sex, weight, color, identifying features, etc. along with your name and phone number if found.  Post the flyers in as many places in your neighborhood as possible - e.g. on street poles, lamp posts, bulletin boards at the post office, libraries, stores, veteriniarian clinics, restaurants, grocery and corner stores, laundromats, drug stores, coffee shops, gas stations, schools, etc. (always ask for permission to post).
6. Continue to check with shelters, animal control agencies, rescues, veterinarians, etc. Check their adoptable animal pages on their websites, and visit the shelters just in case your pet came into them and they didn't make the connection. 
7. If you hear there have been sightings of your pet, put out a humane trap in the area of the sighting with their food and an article of clothing with your smell on it.  This may be enough to entice them to the trap, especially if they are too skittish to approach someone who may be helping you look for them.