I recently made a trade where the other person sent his side first because he was new to the site. It has been about 6 weeks and I have still not received the cards. I have yet to send my side since I haven't received his yet. I am thinking it may be possible that they have been lost in the mail. Is there any sort of etiquette for this sort of situation?

I would probably open a BTR. It's not that the trade was bad, or that either of you did anything wrong, but it would just serve to document the issue and get feed back from the mods on your next best coarse of action.

If no tracking was used then unfortunately nothing can be done. The USPS loses stuff sometimes; I can attest to this personally. Your safest bet would be to open a BTR explaining the situation. The likely decision is that they will give you permission to cancel the trade.

Per the rules, the sender is responsible for proving delivery (USPS Delivery Confirmation is adequate for this). IF you agreed to send AFTER receiving the other party's cards, that other party needs to get them to you (re-shipping, if necessary) if you are going to complete the trade. If the other party is not willing to do that, open a Bad Trade Report (BTR). The mods will review the details of the case and will let you know your options for closing out the trade.