This is really just a comment on Sharpie's answer, but I don't have the reputation to comment yet. If tlmgr install <pkg> doesn't work, try tlmgr search <pkg> as a way of automating the CTAN search (or tlmgr search --global --all <pkg>, if you really want to go wild). Here's a recent example that cropped up for me when trying to compile a file that contained \usepackage{epic}:

$ tlmgr install epic ... tlmgr: cannot find epic $ tlmgr search epic eepic - Extensions to epic and the LaTeX drawing tools. 

This is really just a comment on Sharpie's answer, but I don't have the reputation to comment yet. If tlmgr install <pkg> doesn't work, try tlmgr search <pkg> as a way of automating the CTAN search (or tlmgr search --global --all <pkg>, if you really want to go wild). Here's a recent example that cropped up for me when trying to compile a file that contained \usepackage{epic}:

$ tlmgr install epic ... tlmgr: cannot find epic $ tlmgr search epic eepic - Extensions to epic and the LaTeX drawing tools.