Maybe she's gotten herself killed?
Lydias gone, one more round, Lydias gone
I'd guess that if she had, OP would be getting the "you already have a follower" message when trying to recruit a new companion.
I had this happen a few times on my first go around but, they usually reappeared when I entered a cave, house, etc.
However, after a couple of patches, I found that they'd sometimes vanish and not reappear until I fast travelled ... which took me awhile to catch onto as I was doing a no fast travel character at the time.
Anyway, fast travelling, e.g., my (favorite) follower goes missing -> I fast travel to daedric shrine where I met her and presto ... she's right behind me again, always returned my erstwhile follower to to the fold.
I'm on the 360 so a console command wasn't an option.