I always have some kind of knife and a lighter on me. If I am going to the woods, I tend to have another knife, like a sheath knife. A piece of light nylon cord, say 10 or 12 feet, ties up everything from bandages made from clothes to improvised repairs. A bandanna is useful as a a bandage. A candle can be shaved a bit and used to start a fire. My watch has an altimeter and compass built into it.
Depending on where I am headed I might add in a VHF radio, an EPIRB, a GPS, a map, a headlamp. Some bright colored flagging tape in a roll is real handy to mark your trail if someone is looking for you, or if you need to follow your trail back out again.
A sharpener for the knives is handy but probably can get along without it for quite a while.
I wear some good clothes for the weather, plus I usually have extra clothes, both for me and for my wife if I carry a pack. A dry hat and pair of gloves to hand to her is worth a lot. Extra dry socks and boot insoles can be carried in vacuum seal-a-meal pouches and have been very welcome if the sitution lasted long enough...
If I am not carrying a rifle, I tend to have a large handgun, either a .357 or a .44 on me, with a couple of reloads or speed loaders.
Finally, I tell someone I trust where I/we are going, when to pull the plug on a rescue, and tell them when we get back safely so they don't call the Coast Guard.