Don't try to travel in the dark unless you're used to it, or possibly if you're in the desert.

Don't wait until dusk to find shelter. Try to get everything you need to do done in daylight.

Don't be afraid of wolves or coyotes, they aren't a danger unless they're rabid. Bears and cougars are something else.

Pay attention to your surroundings. Look back frequently in case you have to backtrack -- you'll know what it looks like. Don't be one of those airheads that travel the woods listening to music.

Don't signal for help and then keep moving.

The Golden Rule: If you think you're lost, STOP! Unless you need to take shelter from the sun/heat, park yourself out in the open during the day, where you can be seen from the air.