In an emergency situation, one of the best things you can do to survive is to keep warm and dry. You can do this by:
Utilize your clothing! Tuck in, zip up, and put on all hats or gloves that you have on you to keep your body insulated.
Create a shelter! Protect yourself from the rain, wind and excessive sun. Be as comfortable as possible, but when it is daylight make sure you are visible to searchers in helicopters or planes. This is very important and can be as simple as a tarp, a snow cave, or a lean-to constructed with branches.
Create a Fire! Besides the other survival benefits of fire, it makes a very effective signal. The smoke is visible from a long way. A signal fire should be very smoky, and is most effective if you actually build three fires in a triangular pattern at least 30m apart.