I have no room in my bathroom really. Nor do I wear makeup or even style my hair these days. I am also lucky that I have a nice linen closet right outside the bathroom.
My sink does not have an cabinet underneath so that is always an option. But what I did years ago was get one of those over toilet wooden structures. It has two pieces of wood that go down to the floor, and above the toilet is a cabinet with 2 doors, then an open shelf, then another cabinet with 2 doors. Then there is room on top (I have plants and candles on top)
There is even a little room between the top of the toilet and the bottom of the unit if you really wanted to stick something there.
Inside I have my facial cleanser and cream, some bandaids and deodorant. I try to stick an extra roll of TP in there. On the open shelf I have qtips and lotions, and a small decorative plant pot that I keep my comb and some hair clips in.
The top compartment has stuff that I don't use much, some hair gel, aloe, stuff for biking that moves to the open shelf come summer, spare razors, ibuprofen and vitamins that are too big for my medicine cabinet. (vitamins need to go, I never take them)
A lot of this could actually move into the hall closet, I have "overstock" in there, but I find I use this stuff more so I like to have it on hand. Years ago I got small rubbermaid bins and labeled them "meds", "hair stuff", "soaps and lotions" "summer stuff", and it keeps everything nice and neat in there. I'm lucky that all my towels fit on two shelves in the closet and my sheets go in the drawers underneath.
If I get a burn or poison ivy or something where I need extra stuff, it can all go in there as well, then I move it out of the bathroom when I am healed.
There was a quick web site of things you can do in small places and like Nicole said, an over-door shelf was one mentioned. My bf was able to build a narrow set of shelves into his wall (between the studs) as he is renovating his bathroom, but he is lucky in that his hallway outside that wall had the room to do it.
<edit> My house came with a small 2 shelf wicker thing that attached to the wall, plus I already owned one. I did use them both but I hated the way they looked as everything always looked messy. The over (or behind) the toilet thing I've had for years and I really like it. It's white which matches my tile and trim and I can hide as much as I want in the cabinet portions.