The Magical Disappearing Gift

In any case, submit a ticket with Steam support with the transaction details.

make sure you are on the right place on the inventory and select to show you all steam stuf. If don't apear, then send a ticket.

Send them a ticket with a screenshot of your purchase proof.

Had that happen recently myself.
Sent support a ticket, but by the time they replied, it had shown up already again.
According to another thread (can't remember if it was here or the Steam Forums), activating something in your inventory should sock the inventory in the arm and make it wake up and realize it has another game in it. Thankfully, I had something new I could activate, and this worked in my case -- if it's urgent, that's a likely solution. Trying to do a trade didn't seem to help much, but I didn't try trading a game.

Find a way to refresh your inventory. You can either activate an item, or trade for something. I believe selling something on the steam market works as well, but I'm not sure.