Lack of shelter rates with water as one of the cheerful things that can potentially kill you. In arid regions, protection from the sun and strong wind is essential to reduce heat stress and water loss. In cooler and wetter regions and above the snowline, it is essential to protect against hypothermia.
If things have just gone a wee bit awry and you have your pack with you, you have a good head start. You should have what you need already, or at least a base from which to augment shelter. If you have misplaced your pack somehow - wandered away from it (NEVER wander away from your pack!) or it fell off a cliff, washed away down a river, or a dog ate it along with your homework - then you will need to improvise.
Many survival and bushcraft books have examples of veritable Taj Mahals. If you have really decided to settle down and raise some crops and a family while lost, you may have to work it out as you go along. I'll stick to the basics.
Call me lazy, but it seems sensible to make the most of natural shelter and augment it. This is one of these times when you need to sit down and have a OODA cup of tea and think. Your body, of course, will be automatically telling you where the most comfortable place to be is.
Wind is bad. Windward hillsides, exposed peaks, and spurlines will be cold. Air movement itself cools your body down and if it raining or snowing, this cooling effect will increase exponentially. The leeward side of hillsides is preferred, however there are some cautions. Look up! Rockfalls can kill. This is also a consideration if you just happen to find a convenient cave. Above the snowline, even small snowslides can be dangerous, and beware of cornices. Spurlines are also used for travel by animals. You could get woken up by a herd of goats, and I'm not kidding (geddit?).
Hot air rises, cool air sinks. Staying on the upper side of hillsides is preferable to going down into the gully. It's also easier - vegetation is usually denser in gullies.
Water is not always your friend. While it is good to be relatively close to a water source, water obeys that silly law of gravity, and is found in gulleys where it is colder. Flooding is also a possibility. It does not have to be raining locally for flood waters to hit quickly, particularly in dry river beds. The upper level of the river will be marked by debris from past flooding. Take note of this. Animals also use water sources - pay attention to tracks and preferably don't camp across them. Additionally, in areas along rivers in sub-Saharan Africa, south-east Asia, and northern Australia beware of snapping handbags/river geckos/saltwater crocodiles.
If you have a tent or tarpaulin, all is sweet. If not, hasty shelters can be found and improvised from just about anything. Hey, gorillas make a full-size nest every night in the trees - humans should be able to drag themselves away from their Game Boys long enough to get a few branches together. Study the ground and materials, and try to anticipate what will happen under different conditions such as rain. Depressions in the ground form a natural windbreak and can be augmented. However they can also become miniature swimming pools very rapidly. Careful selection of a slightly downward sloping depression that is not a natural water course would be advisable. Drainage grooves can easily be scraped out if you are worried. Fallen branches provide a convenient wall against which you can shelter and lay materials against. In snake-countries, remember certain species such as death adders like hanging out at the base of or inside hollowed out logs. Trees of course provide protection from above, but always look up and evaluate. If branches above look a bit dodgy, avoid them. Branches can break, vines or fern clumps on branches can fall. Trees such as Eucalyptus have brittle timber, and branches fall in strong wind. Heavily laden pine trees can lose huge heavy clumps of cones. Snow laden branches can provide very unwelcome wake-up calls, and it's hard to believe but falling coconuts kill a surprising number of people annually.
There are many different frame arrangements for a makeshift shelter ranging from lean-tos to teepees. Wiseman's SAS Survival Handbook and the WA Police manual (how I found that still amazes me!) as a good range. For example:
Personally, even when just practising, I keep it as simple as possible. I don't go for architectural awards. The basic construction principle is to make/modify a base frame of some sort, a few cross-supports, and layer & weave/tie whatever you have available to the framework. Simple, huh? Even permeable materials such as branches, grasses, palm fronds, lichens will provide protection from weather if the leaves are aligned properly - ie the reverse of the way they are in nature. Why the reverse? Well, leaves are aligned to maximise sun exposure and, biomechanics being what they are, they funnel water towards the tree. We want them to funnel water away from us. Doubled layers increase the protection, and if there is a gap between the doubled layers, the air layer will provide insulation. Branches or saplings can be modified by bending/breaking and tying down to the ground. In addition to providing a quick shelter, this also provide a frame for additional materials to be layered onto.
Snow is a special case. First, if you are above the snowline it will invariably be cold. In forested areas, use the trees as you would in any other habitat. If you are above the treeline, it is imperative that you make the most of natural snow formations as wind protection, for example digging into a snowdrift. The caveat, of course, is that you must beware of snowfalls. Also, with those pesky laws of physics being what they are, wind loses power when diverted over an obstacle and, you guessed it, will drop snow on the leeward side of a rock or a snow drift. During active snowfall you must keep enough breathing space and a means of digging out of a drift. On the bright side, snow is largely composed of air and air is a great insulator. A tree bough, or lean to of some sort that is snow covered will provide more insulation. This is the principle behind a snow cave. Others (eg, Wiseman) provide a range of different structures. I don't suggest spending a week building an igloo unless you really want to. I personally would rather try and effect some self-rescue and get myself to a better situation.
Be innovative. Observe what's around you. Minimise the effort you need to expend to make a shelter. If you don't need to expend effort/blunt your knife by cutting something - bend or break it. If you need to tie something, you could either break into your precious supply of para cord or simply plait grasses, vines, flax - basically any pliable materials together to make sufficient cordage. If you make it well enough, it can be re-used at your next site if your plan is to move. Think about what would be useful to carry in your survival kit. Paracord is an obvious item; a folding knife should always be in your kit; garbage bags are multipurpose - waterproofing, water collecting, emergency shelter and - in this case - protection from weather.
Keeping the rain off is one thing. Water conducts heat, air insulates - staying dry is a big part of the thermal battle. However, the ground (particularly when wet) also conducts heat. Getting off the ground is important to close the heat-loss process. Gorillas make mattresses by weaving branches together, we can do the same thing by building a bed of branches and other vegetation. It really is that easy. A bed of some sort will raise you above any water running on the ground, and most importantly introduces air spaces between you and the ground. Hammocks are OK, if you can rig one up, but it is wise to minimise the airflow between you and the ground by rigging it over a trench or layering branches underneath it to baffle airflow.