That happened to us two years ago on an Alaskan Cruise. It was not the fault of the Cruise line (NCL) but of the separate airline that we had booked ourselves. Anyway, it was three days into the cruise - at Ketchikan that our luggage arrived. We were not prepared - having arrived in Vancouver in summer attire and did not have outfits with us in our carry-on. The NCL staff were just wonderful with us. They gave us toiletries, t-shirts, free laundry for the few bits we did have. The airline gave us an allowance to buy things on the ship, but unless you're below a size 6 (we aren't) there are not a lot of choices. We managed to pick up hoodies, socks and a few things but were really relieved when we got our luggage.
Because of that rough start on our very first cruise, we repeated it - same itinerary, same ship this past summer. It was absolutely wonderful. We had excellent carry-on just in case, we did a land tour of Vancouver and Whistler for two days before our cruise and our luggage was in our stateroom before the muster drill.
It has taught me an invaluable lesson. Always take a few days' of clothing in your carry-on and arrive a day before the cruise. That's what we're doing on our next cruise in March/08 as well.