- If you lost it (or think you may have lost it) in a shopping mall, school building, public library, retail store etc, ask at that location whether it has been found and handed in.
- If you think you left it on public transport (such as a bus, train or even a taxi), ask at their Lost Property office.
- If you think you may have lost it in an open area, ask at the nearest police station to see whether it has been handed in.
When we see posts here from people who have found an iPod, the experienced contributors here always suggest that the finder hands it in at the aforementioned places. Apple do not and cannot maintain any form of register to find lost devices.
Even if you lost it in a public building or on public transport, the finder may have handed it into a police station instead of the mall's Lost Property office, so check the police station too. If you think you lost it anywhere else, such as in your house or at a friend's, then Allan's advice is the way to go.