Depends on the circumstance you're training for, but I'm going with "a PLB."

With that out of the way, I like Doug's PSP+ along with a Heatsheets 2-person blanket. With those two things and the right clothes and footwear I can do a lot with my modest skillset, assuming that I'm in North America and not in the water.

By preference I also carry a larger knife than is included in the PSP+, water and a vessel in which to boil same.