Twenty-three years ago, a roommate's puppy was stolen out of the yard. One thousand signs (literally), police report, two weeks and one scam ransom later, we got her back.
On the scam ransom, a guy came to our door (curious) around midnight and said he knew where the puppy was and so four of us piled into a car armed only with golf clubs and staked out a housing project. The tipster went in and never came out. Went home minus $100 and with no puppy. This was DC in the really, really bad 'ol days, but that's how desperate we were to get her back.
A couple weeks later, we did get her back after a woman called claiming to have her. Turns out she had bought her off the guy who stole her. My roommate reimbursed for what the woman said she'd paid. That woman called after a posse of my friends blanketed an area with signs.
Lots of good advice in Susan's post. Be persistent, don't give up hope. Lots and lots and lots of signs -- with one good photo and "Lost Dog" and "Reward" emblazoned big to catch the eye.
We were advised at the time about: 1) dog fighting rings; 2) dognapping for ransom; 3) research labs.
Canvas the neighborhood in all directions. Check regularly with area animal shelters.
Sadly, these thefts are not uncommon. I remember not long after that a woman who used to frequent our local park was distraught after her Rottweiller was stolen out of her front yard (fenced and the woman was home at the time). That dog was huge and so scary I wouldn't let my dog near him. Yet someone snagged him.
Now I would never leave my dog unattended in the yard, car or anywhere else. Especially not in this economy.