Shelter is typically next on the list of needs in a survival situation when you are lost. Once again, if you are backcountry with all of your equipment, then this does not pose a major problem. Shelter becomes an issue when you do not have or have been separated from your equipment.
Acquiring shelter for the night can come in a number of forms. You can build a simple shelter with a frame work of branches and some pine thatch if available. A large tree can provide all that you need. Once again, the trusty trash bag can be used with some cord, string, or even fishing line to create a makeshift shelter for the night. Make sure where ever you setup for the night that you are not in a wash or dry river bed. Signs of previously flowing water are all good indications that you need to pick a different sight.
Your shelter should protect you not just from potential rain fall and harsh sun, but also from the wind. Position your shelter so that the wind is striking it's back, and not blowing into the shelter. In damp conditions the wind can serve to aid hypothermia along and in dry conditions can accelerate dehydration.
You should avoid caves for a number of reasons. Most caves are naturally damp and cool, which increase your risk for hypothermia. Additionally most caves are already inhabited by other animals which may not appreciate your intrusion. Discretion naturally applies. During a lightning storm a cave should be your absolute last resort for shelter. If you are caught in a late fall snow storm a cave may be your best instant and temporary shelter if one is readily available.
Arid and desert regions pose a new set of problems and makes shelter more critical. The hot sun of the desert can cause dehydration, heat exhaustion, and a potential fatal condition known as sun stroke. Try to find rocky areas where you can find shade. Be aware that as the sun moves from east to west the cool spot you start in can become brutal later in the day. A trash bag over your head will not provide enough shade. The most difficult hours are from noon to three where shade may be difficult to find. Do the best you can and limit your movement. Try and stay out of the wind to prevent dehydration.
Shelter is an important part of the survival puzzle when lost as it aids in the prevention of the potential fatal conditions of hypothermia, dehydration and sun stroke.
Proper nutrition when lost...