You know when you put your winter coat on for the first time since the previous winter and find money in the pocket? I did the Skyrim version of that. I left Lydia waiting in a building holding all of my gear while I was out stealing, someone spotted me and the whole village tried to kill me so I ran away. When I went back Lydia was gone, so I thought nothing of it until a few days later while I was playing it said "your companion got bored of waiting and left".
By that point I was doing okay without her, so I ignored it, not knowing where to find her. Recently I went back to Dragons Reach to buy a house and she was there, so I told her to follow me again and checked if she still had my stuff, and she did, most of the things she had were enchanted weapons and expensive armour which proved very useful. But all of the stolen items I gave her were missing, so I don't know if she was caught and put in jail or something or if the game just lost those things on its own.
Anyway, now I'm level 100 in Smithing so I can make Dragon Armour and I've started to enchant weapons too. The biggest boost was getting 20,000 coins for killing the Emperor for The Dark Brotherhood.