Try to find landmarks.  First and foremost, get out your map and compass and attempt to locate major landmarks.  If you can identify your surroundings by studying the map, you are already out of your jam.

Always remain calm.  It will be nearly impossible to get yourself out of a bad situation if you are not thinking clearly.  Just remember to take a few deep breaths and assess your dilemma in a rational fashion.

Don't wander around aimlessly.  If you find a trail, do not leave it.  Moreover, go about your situation as systematically as possible.  Begin to map out your surroundings. 

Never move around during the night, if you're injured, or if you are physically exhausted.  Traveling about if any of these conditions apply will only place your life at greater risk.  Shelter as best you can and try to signal out to any rescue efforts.  Signals can include the use of a fire, mirror, or emergency foil blanket.  If you do not have any of these items, try to find the brightest article of clothing/gear that you have and place it in a location that is visible from the air.

Follow a drainage or stream downhill.  This method should really only be used as a last resort.  If you've tried everything else, you might find it necessary to follow a drainage or creek downhill.  Water sources and drainages, as a general rule, will often end up at a road or other element of civilization.

Carry a GPS unit with you.  If you are not comfortable with your map and compass navigation skills, you may find it very useful to carry a GPS unit in addition to your map and compass.  Although we would never recommend relying solely on GPS units because of the inherent dangers associated with doing so (running out of battery life, etc.), GPS units can pull you out of your sticky situation.  Remember, however, to mark your trailhead as a waypoint before beginning your hike.  This is the most crucial piece of information that your GPS unit will have on it in case you lose your way.