Walking barefoot through the room generally helps - but I don't recommend it.
If you have carpet, sometimes the needle goes in at an angle and you simply can't see it. A friend of mine shines a flashlight over the floor. Apparently the needle shines in the light. If you have hardwood flooring, it's possible that the needle is lodged between boards or by the baseboard. I don't know if the flashlight trick will work for that.
If you have a strong magnet, put it on a short pole and 'sweep' the floor and furniture with it. That might find it. Or you can go to a hardware store and get a telescoping magnet wand. They're useful for hunting pins. They come in several sizes; I'd recommend the larger as it seems stronger. If you get one of them, you can attach a larger magnet to it so that you cover more area in a shorter time. This is not foolproof; sadly there are times when the barefoot method is the only one that works.