London Victoria appears to be where most of it ends up, but should you have lost (or lose) anything check with station staff at the destination of the train and at the station you alighted at, if this is different.
Unfortunately customer service staff have been noted to be polite but vague about lost property.
Just to back up the previous post, from tsr - bear in mind that if the train has run to or through a station operated by another company, if the Guard hands over any lost property at these locations it will generally go through that company's lost property system. So a Southern from London Vic to Portsmouth Harbour, or Brighton to Southampton Central, would end up at a SWT station for example. In which case it is worth contacting all TOC's through whose territory the train has passed and stopped in, just in case!
What service where you on, Its a good idea to check the destination station too, a simple phone call should do it And you never know, we might even have the guard from that train on the forum. Although I cant say for certain if we have any southern staff.