Herkimer, it sounds like you've really fallen head-over-heels in love there! Can't say I blame you, Lydia does have her folksy charm. I lost her once or twice but I usually found her in Dragonsreach; maybe wait there for a few days and see if she rolls up.
First time I left Helgen I followed the dude back to Riverwood, chatted to some of the locals, incinerated a chicken, got gangraped by angry chicken-loving villagers, then (after quickloading) headed out to Saarthal and fought me some zombies. Pretty standard stuff, really.