At least in the US, unfortunately there is not much you can do. Report to the police and hope you get it back. In the US you hope that someone just took it for a joy ride and it will turn up within 25-50 miles of where it was stolen. Checking apartment building parking lots and shopping centers within that radius may prove successful. This is not usually the case though.
Most often though within 24-48 hours of being stolen one of two things are happening. The thieves are most likely part of a bigger operation and your car is being dismantled for parts or is in a shipping container for export. Either way, by this time you the VIN will have been altered and the car changed enough to make it look slightly different (i.e. painting). Yes, what you see in movies does actually occur to some extent.
If by some remote chance your car is found by you, do not touch it or move it without first contacting the police. If there is any hope of catching the individual(s) responsible it will be before you touch or drive it away.