I had two situations last season that drove me crazy for a bit. On the wife's bike, she kept getting a flat even though we both could find nothing in the tire. I finally took a seriously long time in checking the tire itself, and found one of those little wires as mentioned above. Had to turn the tire inside out as well.

The second one was the mysterious overnight flat. I could find nothing, even in water.... until I put the stem under as well. A very slow bubble coming from the Presta core. I've seen schraeder valves leak, but this was my first presta....

I use a small bucket with water, putting a small section of the inflated tube at a time in the water and watch for bubbles. If air is escaping, it will show.