I much prefer to find, rather than build or erect a shelter. The very best is a rock shelter - an overhanging ledge with open space below or the entrance to a cave. The good ones are deep enough that you have good shielding from wind, and are situated so that you get early morning sun and afternoon shade.

You can't find rock shelters everywhere, but in a level forest I have seen upended root balls and stumps that would serve just as well.

My worst night in a rock shelter has been as good or better than my best night in a tent, and it has been achieved with far less effort. The one drawback is that the really good shelters tend to be archaeological sites - please don't disturb the antiquities.