One thing to keep in mind is that, shelter doesn't really create heat. It only acts as insulation for the heat you already produce. If you aren't producing a lot of heat (say, you're slightly hypothermic and under-nourished, which is typical of someone forced to survive outdoors), you are going to have a lot of difficulty producing the heat necessary to get warm (at least in the short term).

Fire, on the other hand, is an outside heat source. It doesn't rely on your own body temperature to warm you up. Besides that, it's a great morale booster, it provides light, it's a good signal method, it often helps to keep away critters, it can make water safe to drink, and..through the magic of cooking....it lets you make certain foods safe to eat and significantly more palatable.

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One a side note: A lot of people consider a knife to be the #1 most important survival tool, but I actually think a fire-starting method is my #1 most important item (followed by a good metal pot/pan/cup). I mean, a reasonably sharp edge is typically pretty easy to find in nature....a broken rock can be used to cut cordage, skin game, carve wood, ect...if need be. I can usually make some sort of shelter without a knife, no problem. However, making fire without already being equipped with fire starting equipment, tends to be a real pain in the behind. When you're cold, wet, and hungry is not the time to be expending energy trying to get a bow-drill or fire-saw working.