If you're just as lazy as the rest of us, forget about it and get yourself a new one.
However, if you're HELL-BENT on getting your bike back..
1. Call the authorities: Provide as detailed as a description of the bike you bought, like what model is it, any unique features like nicks and scratches or painting, where and whom and when you bought it. Provide description of the time, place and situation you were in when it happened. Oh, don't forget to mention the weather. Pry into your photographic memory banks and try to describe the suspect as rich as you can. Try to determine his age range, too.
2. Spread the word!!
Call up your friends, your family, and people who you've just found in the phone book. Leave no stone unturned!!
Call up the local papers and advertise for the bike.
Call up the print shop and massively print out, MISSING/REWARD posters..
..a million copies isn't asking too much, is it?
Go on every blog you can find and just spam every IRC channel!!
Online MMORPGs are another option you can look into also.
3. Drop in on your local flea markets, pawn shops, and black market traders and see if the thief sold your bike there. Craiglist and eBay works wonders.
4. Go on national TV!! Get the local media to interview you! Make sure to make the headlines and prepare to stage a very, VERY emotional loss!!
5. Go door to door, and make sure you get both upstairs AND downstairs tenants. Bring a handgun, may come in useful.
6. Pray. The Gods may just smile upon you try, really, really hard!
7.*NEW* It's possible that he might have buried it!! Buy a metal detector and comb every possible beach, forest, park, desert you can think of! It will take a lot of work, but with every area you scan, that's one less square off your checklist!
Well, that's all I have for now.
Good Hunting!! (You'll really need it)