I'll second the Ritter PSP. There is just no way I could accumulate that much first rate gear (whistle, mirror, magnifying lens, Spark-Lite, SL tinder) for just $25.

I'll also second the single-AAA Dorcy LED light from Walmart. I use mine all the time.

The Mora #748 (and its carbon-bladed relative #731) knife that Equipped.com recommends is a great bargain for just $16, +$5 for shipping. It is tougher than you'd think for the price and I really like the handle. Its at http://www.ragweedforge.com .

For whistles w/ spiral wrist bands, you can get them at http://www.orientaltrading.com for only $2.95 for 12 whistles plus $7 shipping. They're no Storm or Fox 40, but they are decently loud. They also have some smallish compasses that look interesting, but I haven't seen them in person.

For very low cost shelter, check with your local highway department for large orange trash bags - they might give them to you at no cost.