If you suspect two unregistered users are the same person ...
The best (and often, the only) thing to do is to leave a comment as Jason suggested:
Are you [this other user]? If so, you might like to merge your accounts so that you keep all your posts under one account and have privileges such as being able to edit your posts by yourself.
In really clear-cut cases (e.g. one user asks a story-ID question, another user with the same username suggests an edit to add more details; or two users make two word-for-word identical posts), you could flag one of the relevant posts for moderator attention. We have more tools to investigate such issues, and also easier access to those with the power to actually merge accounts.
However, in most cases it's not something you need to worry about too much; the only person who loses out from the two accounts not being merged is the person who created them. Having more than one account is allowed, provided you're not doing anything nefarious with them, so you don't need to flag for moderators every time you come across a user with two accounts. In particular, if the person is deliberately maintaining two accounts and is open about it (e.g. Buffybot or Awesome Frog), then chances are there's nothing bad going on and nothing you should do about it. However:
If you suspect foul play ...
Although you don't have to raise a flag every time you come across two accounts that seem to be the same person, please do let the mods know if you've found some real nefarious activity. This is part of what the flagging system is for: you help us to police the site, and flags are how you let us know about things that might require our attention. Just bear in mind that you may not receive any feedback on your flag, as these things often need to be dealt with privately.
(I realise this isn't what you're really asking about: you're focusing on unregistered users who accidentally create more than one account, rather than sockpuppeteers. But I wanted to make clear that there are situations when it's good to flag even if the case isn't clear-cut from the non-mod perspective; and since others here have raised the issue of new accounts being created to circumvent a ban, I thought I'd mention this possibility too, even if only briefly.)