The problem with most shelter is that it weighs a lot or is big and cumbersome to carry. But when it comes to the raw basic need for protection against the elements, shelter is not something you can do without. One of the shelter-related items I carry weighs only 3.5 ounces and can be packed in a cargo pocket. It's called the Heatsheets Emergency Bivvy and is available for $16 from Adventure Medical Kits (www.adventuremedicalkits.com).
This bivvy is made of the same kind of material that is used in their Emergency Blanket, except that it's in the shape of a sleeping bag so you are totally protected once you're inside. The bivvy is orange on the outside (good color contrast to attract attention of rescuers) and reflective silver on the inside. The shiny interior reflects 90% of your body heat back toward you, helping protect against body core temperature loss. The material is impervious to wind and precipitation.
If you're overtaken by nasty conditions and need a place to get out of the elements, crawl into the bivvy and pull it up over your head. It's nice if you can lie on some forest duff to provide insulation underneath, and tuck in under a bush to help deflect some of the wind and rain or snow.
Whether the survival situation is in the wilderness or an urban environment, you always need protection from the elements and a way to preserve your core temperature. This is a potentially lifesaving piece of gear that you really should not be without. Carry one in your car for each person you normally travel with, and have one in each 72-hour kit for family members.