Think() Where am I now? Nowhere.
This seems very stylistic. Although two choices are incorrect.
Think, where am I?
Looks goofy to me. Almost as if someone is addressing someone named "Think"
Think; where am I?
I believe the ideas are too different to be connected with a semi-colon.
Think: Where am I?
Is technically correct; however, I would personally use:
Think. Where am I? Nowhere.
I would do this not only because it separates the two thoughts completely, it also gives the reader that full mental pause after think - the same pause you take when you are thinking. I also prefer this as "Nowhere." is also it's own sentence. The two one-word sentences surrounding "Where am I?" make the poignant passage aesthetically pleasing.