While this happened to me last week in San Francisco and not in Europe, I think the tips are still valuable for all travel. Long story short, my wife and I flew into SFO, rented a car, drove to a scenic spot to have lunch, and upon returning to the car found the back window smashed and both my bags gone. Fortunately one of my bags (the one with almost all my clothes) the next day but my backpack never turned up. So here's my tips:
1 - Drop your stuff off at your hotel/BNB before heading out to do anything else. Especially if you're going to a spot with lots of tourists as the criminals know that this is where the goods are.
2 - If you're traveling with someone, put some of your clothes in each other's bags. We did this in Europe but unfortunately didn't think it was something we needed to do just an hour up the road, but we were wrong. I was left with just the clothes on my back and we had to waste the next day of our trip shopping for clothes instead of having fun.
3 - Packing cubes save the day! I had everything in packing cubes and I think that is a big reason I got so much back. Initially someone found my socks & underwear bag and turned them into the police who reunited them with me. Then the good Samaritan (thanks Tony!) who found my bag was easily able to find my bags/cubes of everything else nearby. Had this not been the case I'm not sure if I'd have been as lucky.
All in all a bad situation wasn't horrible and I'm thankful for the lessons learned. Once we were past that we had a great time and truly believe that the best way to get over a rough time is to listen to our Uncle Rick and keep on Travelin'!