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.
The presence (or lack therof) of natural caves and rock shelters is highly dependent on the local geology. Natural shelters are extremely common in the generally highly stratified rocks of the Colorado Plateau. Likewise, in humid areas with limestone, caves are common. In other areas, with other geology, true caves may be rare to non existant. Even there, though, one can sometimes find large boulders that can be used with a small tarp to fashion a quick shelter.
As you point out, in forested areas, one can often find downed trees that will often provide good shelter. In forested areas with deep snow, tree wells will often work good. A few minutes work with a snow shovel can turn a tree well into a veritable palace.
Talking about winter shelter building, I've been looking at adding a compact snow shovel (something like the
Voilé XLM maybe) to my pack, even for day outings.
In snow country a shovel is a key peice of gear. There are many small, lightweight designs to choose from. If one is traveling in avalanche country a really good shovel, along with probe and beacon is absolutely essential.
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