Greytruck makes a good point - it is worthwhile, in the woods having a mental reference point - canals, rivers, roads etc - I'm usually aware that if all else fails, if I head say east, I'll hit a road. Might not be shortest route, but without GPS, map or compass, I at least have a bearing. Then I can use the sun, stars etc to guide me.

(Note - staying put is usually a better option, but 30 seconds with a map should identify some boundary to the area you are in to head towards)