I once had a Sony PSP and an iPod stolen from my baggage on a Continental Airlines flight going out from Newark Airport (Yes, I should've taken them in my carry on, I had no space left and was overly trusting).
I complained to Continental Airlines and they basically said "Tough luck, we don't go through your baggage, it's the TSA. Take it up with them." They added "We do recommend our passengers to avoid putting any electronics in their baggage".
TSA has a form you can fill to file a complaint. It includes sending the receipts of your stolen objects and witnesses that confirm you did have them in your baggage and witnesses that confirm they were not there when you arrived. Then they supposedly "start an investigation".
I had lost the receipts of my items and being outside the US it was difficult to go to the store and try to get a copy. So I never submitted the papers. I did learn my lesson. Never put electronics in your baggage, it will come up in scans and become an excuse for someone to open it.