For federal loans, go straight to the National Student Loan Data System (NSLDS) to see if there is any information on you or your debts. This is a central database with information from schools, the Department of Education and other loan organizations.
Check out the National Student Clearinghouse Web site. They are a large nonprofit organization and offer a free loan locator.
For those that have received direct loans, check out the direct loan servicing home page.
It's doubtful that you've forgotten about a private loan (these guys sure know how to remind you!) but if you have, you might want to rummage around your file cabinet for an old statement. If you locate a company name you can usually visit their Web site to check your loan status.
Sallie Mae is the largest provider of student private loans. Check their Web site as well.