Do not plan on lucking into an abandoned cabin nestled comfortably into a forgotten wooded glen. There are however, numerous naturally occurring shelters one can make use of; caves and some old mine shafts can serve the survivalist well. There are some inherent dangers that must be weighed, but there are also some undeniable benefits. They are usually a constant temperature year round. They are also easily defended; you can build a fire to the front of the opening to ward off wild animals. If caves, outcroppings, or mine shafts are not available, one can also shelter under the stump of a large uprooted tree. If there is not an "under" to the uprooted tree, but rather a "by", you can easily lean branches against the open side of the root ball, and cover these with leaves, ferns, and or evergreen boughs to create a warm, cozy, and dry, little shelter.
You must remember that it is not wise to sleep on the ground. Body heat is lost to the soil at a very high rate. I learned very early on that this makes for an extremely uncomfortable night. It is therefore necessary to get your body up off the ground. This may be accomplished by doing something as elaborate as building a sleeping platform, or it can simply mean adding a thick layer of evergreen boughs, or forest floor debris. One must be careful though to pick clean material for ones bedding. I cannot begin to describe the suck factor of waking in the night to find you made your bedding from material infested with insects.
I carry a hammock and an 8' x 10' tarp in the tool box of my truck. There is really no easier 3 season shelter than hanging a hammock between a couple of trees, and suspending the tarp above it to shed any rain that might happen to fall. Once you become proficient at it, you can get it up in a matter of minutes.
You can also create a number of shelters from readily available local materials. One of my favorite shelters is a debris hut with nest. Build a box to hold a nest of dried leaves upon which one can sleep. Start out by constructing log cabin style walls about 18" tall interlocking at the corners just like a log cabin. The resulting box should be at least 1ft longer than your body, and 2ft wider. Once this is done, fill the box with clean, dried, leaves gathered from the forest floor. It is important to make sure this material is free from insects, and moisture. Once you have this done, the walls will hold the leaves in place, and you have a very soft bed upon which you can sleep. If you build the walls higher, you can actually burrow into the leaves for warmth. After building your nest, you can construct a debris shelter over the top to keep out the weather. Use dead branches and saplings to make the framework over your nest; think of a wood stick tent. While smaller branches and sticks are used to make the lattice work for roofs and walls. Finally leaves, ferns, grasses, pine boughs, and even mud or snow are used to seal out the elements. Once you become proficient, this type of shelter can be built in a few hours, and it will keep you quite warm and cozy with limited gear. The thicker you make the roof and walls, the better insulating properties the shelter will have. This is an excellent shelter for cooler climates. Think of this type of shelter as two separate components. Each can be used alone, or combined into a super shelter.
If your stay will be longer than a night or two I would suggest building a Wikiup or Wigwam. These shelters served our Native American brothers well. Using local materials, and time honored practices, they can be built in a relatively short amount of time, and they offer shelter, warmth, and comfort. In our weekend wilderness skills course, we will build such a shelter.