What do you say? Identify yourself and ask if the decision has been made. Don't point out that the interviewer didn't call you on Thursday as promised - he or she knows that!
Calling interviewers back is a good move on four accounts.
First, it brings you back into their thoughts, forcing them to reevaluate you. Second, it shows you can be assertive without being abrasive. Third, it shows you are interested in the position. Fourth, it proves your follow-through is good.
What happens if you are told someone else was selected? Naturally, your feelings are hurt and you just want to get off the phone and lick your wounds in peace. Don't! Now is the time to be tough. Take a deep breath and say, "Well, I'm sorry you didn't select me. I know I would have been great as your _____. But that's okay. You know I'm a little new at this interviewing business, so can you tell me what I could have said or done differently to have been your top candidate?" Practice this many times before you attempt it for real. Work at keeping your voice calm and unchallenging. Try to use the same tone of voice you would use if you were asking someone to pass the salt.
Why should you go through this agonizing exercise? For starters, you may find out something about your interviewing style that has been holding you back. You may learn you didn't know something technical about the job in question. You may discover the decision had nothing to do with you at all-the company may have been simply going through the motions because management had already selected someone from the inside.
But the most important reason for asking is that sometimes the selected candidate doesn't work out. If you make an effort to bolster your relationship with the employer, however, chances are good you'll be asked to come back for another interview. After all, how many unchosen candidates would think of doing this? If you don't make the gesture, you'll probably never be asked back - especially if you got a form letter saying you weren't hired and you do nothing about it.
Most interviewers are not ogres. They know you want the job and they don't like hurting people's feelings any more than you do. Therefore, they'll just avoid you. But, if you basically tell them, "Hey, it's okay that you made the choice you did; no hard feelings," you stand a much better chance of being called back. It's just human nature.
One more thing: Practice. Practice. Practice. Select someone whose opinion you respect and ask that person to role-play the interview with you. By the second run-through, this "interviewer" will start to take his or her role seriously, and that's when you should ask for feedback: Which of your responses sound natural? Which need more work? Remind the person that all your answers should be positive and to tell you when they aren't. You'll both know when you're ready: You'll begin to enjoy the exercise, you'll start to joke about it, and most importantly, you'll present yourself convincingly and comfortably. And then your role-play interviewer will have no choice but to offer you the job!