I agree with what seems to be the consensus here (return null if "not found" is a normal possible outcome, or throw an exception if the semantics of the situation require that the object always be found).
There is, however, a third possibility that might make sense depending on your particular situation. Your method could return a default object of some sort in the "not found" condition, allowing calling code to be assured that it will always receive a valid object without the need for null checking or exception catching.
