It seems to mainly be a UK thing that everyone carries a 'dalesman international' survival bag.
They are simply very large (sleeping bag size) very thick, orange plastic garbage bags. They fold down to a letter size * 1/4" thick package, are reusable and only cost around $5.

I've had to use a mylar space blanket twice. As a diver to make sun screen for someone who collapsed on the beach and on top of a mountain in Egypt (it's the desert - who would have thought it was so cold!). On the beach they work great, on the mountain I wished I had the survival bag.

For the same size/weigth/cost as a space blanket you can get disposable orange ponchos that are just as warm, allow you to move and keep you drier.