Just to clarify, the reason why there is no member like contains() in these container types is because it would open you up to writing inefficient code. Such a method would probably just do a this->find(key) != this->end() internally, but consider what you do when the key is indeed present; in most cases you'll then want to get the element and do something with it. This means you'd have to do a second find(), which is inefficient. It's better to use find directly, so you can cache your result, like so:

auto it = myContainer.find(key);
if (it != myContainer.end())
{
    // Do something with it, no more lookup needed.
}
else
{
    // Key was not present.
}

Of course, if you don't care about efficiency, you can always roll your own, but in that case you probably shouldn't be using C++... ;)

If you were going to add a contains function, it might look like this:

#include <algorithm>
#include <iterator>

template<class TInputIterator, class T> inline
bool contains(TInputIterator first, TInputIterator last, const T& value)
{
    return std::find(first, last, value) != last;
}

template<class TContainer, class T> inline
bool contains(const TContainer& container, const T& value)
{
    // This works with more containers but requires std::begin and std::end
    // from C++0x, which you can get either:
    //  1. By using a C++0x compiler or
    //  2. Including the utility functions below.
    return contains(std::begin(container), std::end(container), value);

    // This works pre-C++0x (and without the utility functions below, but doesn't
    // work for fixed-length arrays.
    //return contains(container.begin(), container.end(), value);
}

template<class T> inline
bool contains(const std::set<T>& container, const T& value)
{
    return container.find(value) != container.end();
}

This works with std::set, other STL containers, and even fixed-length arrays:

void test()
{
    std::set<int> set;
    set.insert(1);
    set.insert(4);
    assert(!contains(set, 3));

    int set2[] = { 1, 2, 3 };
    assert(contains(set2, 3));
}

Edit:

As pointed out in the comments, I unintentionally used a function new to C++0x (std::begin and std::end). Here is the near-trivial implementation from VS2010:

namespace std {

template<class _Container> inline
    typename _Container::iterator begin(_Container& _Cont)
    { // get beginning of sequence
    return (_Cont.begin());
    }

template<class _Container> inline
    typename _Container::const_iterator begin(const _Container& _Cont)
    { // get beginning of sequence
    return (_Cont.begin());