That is a great question, some things I would take with me into the wilderness are a knife, canteen, some kind of first aid kit and a glow stick.  To survive you need water, shelter and eventually food.

Search and Rescue teams look for signs that you’ve been there and its very important you stay on any trails that are available and its best to make it obvious that you’ve been there, move rocks and break branches.   Nothing in nature is a perfect circle or a straight line, and the human eye finds those things faster and easier than random growth.

If it starts getting dark and you know there happens to be a helicopter looking for you use the glow stick and the canteen strap together and whip it above your head in a perfect circle.  You will be found faster because from the sky it looks like your drawing a circle around you.