That's when an article like Kathy Jones-Kristof's comes in to play. Her "Unusual Places to Look for Genealogy" does a great job of listing a number of different avenues for research - some that you probably have never thought about, and some which you have probably not tried for awhile. It's worth taking a fresh look at the article, as well as the rest of her blog:
Inspired by her post (it was written awhile ago but I just came across it today), I decided to search some Unclaimed Property type sites and actually came across three recently-deceased cousins listed. I've contacted their next of kin, and am hoping that there is some sort of positive payout for them!