I just completed Diplomatic Immunity with my current character. I now can't find my thralls. The first time I did the quest, way before 1.4, my companion stayed at the stables near Solitude. This time Janessa popped up in Reeking Cave and I think she was outside the gates when I was going through the embassy. I think because I used Detect Life and a Blue figure appeared outside the walls near the entrance. I looked all around the exterior of the embassy, all around the stables and no sign of them. I hoped they'd be with my gear at Delphine's, but no. I know they are still "alive" because they are listed under Active Effects and NPCs comment about the "dangerous spell". I have fast traveled many times too. It will svck if I've lost my precious Aranea. The frost mage is not a big deal.

I accidentally found mine while exploring last night, more than one month after losing it.

I guess I have a new quest.

Another good reason to stick with Atronachs I think.

Followers do that, they just either get in the way or go AWOL; pick a fight with a dragon they sometimes apppear and help out. Or get a horse, its a quicker way of scouting around to find them.

If you're on the PC I believe you can open up the console and get the ID of the thing you have thralled, then if you lose it you can just 'warp' it back to you.

This game is on PS3. If I come across one of them so be it. I'm not going to sweat it. Janessa died in Broken Oar Grotto by being a twit, and as it had been about 35 minutes since last save I wasn't going to reload. Long story short, she is now a thrall. Maybe I'll find Aranea wandering about.

Quests that require you to be alone will rip them away from you.
For this quest I had Susanna the Wicked with me, and her corpse was back at Windhelm's graveyard. I suspect that if your thralls were permacorpses, they returned to their original resting places.

Thanks for the info. I'll try Azura's Shrine for Aranea. The Frost Mage I found on a road near Secunda's Kiss. She was fighting a fire mage and the giants took offense and killed them both.

While on my way to the college I decided to check out Azura's Shrine since it was on the way. I found my thralls...well sort of. Aranea's body was at the top, but the Ravager was alive and on the top. Somehow she was resurrected. Odd thing is the Ravager was replaced with an Ice Mage. I know it was my old Ravager because of the gear on her. It was things I gave her that could help her, but I wouldn't care if they got lost.

I was on my way back after exploring Alftand to dump off loot. While in there my other two thralls disappeared. I think they fell off a ramp and it is a long way down. Who knows, maybe they will turn up in Blackreach. If so I will replace the Ravager with the Briarheart.

Just wait until they start randomly appearing alive, and hostile, when you fast travel somewhere. It makes things...interesting.