When roaming the outdoors, it might happen that one finds oneself in a situation that is much, much colder than one planned for.
What can one do in such an emergency, especially when it's so cold that there's real danger to health or even life?
I suppose one obvious thing, if at all possible, is lighting a fire. But what if that's not an option? Another thing is using every piece of textile one has got, and wrap oneself into it. What else can one do to keep as warm as possible?
So if you're completely out of your expected element, have no emergency blanket or shelter, then there are a few options to provide some additional protection from the cold.
Get out of the wind. The wind makes things that much more miserable. If you can, get into an area protected from the wind.
Find some insulation. Stuff leaves loosely between clothing layers.
Don't lie directly on the ground. It will literally suck the warmth right out of you. Put down a layer of branches / leaves and lie on top of it. Make sure it's thicker than you think it should be as the make-shift mattress will compress under your weight.
If necessary, keep moving. If you've done all the above and are still freezing. It may help to do some light calisthenics. Make sure you don't exercise to the point of sweating as that will just exasperate the situation.
Eat something with high energy content. If it's warm, even better, but as Freedom of the Hills explains, the warmth is merely a psychological factor, what really warms you up is the energy in the food. Chocolate is great for this.
Put the hypothermic person into a sleeping bag together with another, hopefully warm, person.
On short trips where you don't carry a sleeping bag, carry an emergency blanket. They are very small and light but reflect body heat back onto you.
And, of course, the most important part: Don't get caught by cold weather. It is okay to be caught in a situation that is "somewhat" colder than you planned for, but not "much, much" colder.
A lot of this goes back to being prepared. Even a light hike in unknown terrain or with spontaneous weather can turn for the worst. Having a small kit with you will always help out and, should something happen, will more than make up for the weight.
Having something to start a fire with is a minimum, flint/steel, a few matches, whatever suits your style and experience level. Make sure to practice building fires at home/in relative safety.
As noted in other posts, carry more layers with you than you may need. This doesn't mean you need a down puff. Consider what the weather is like in the area you will be. Consult forecasts before going out and consider your own level of tolerance for exposure.
Avoid cotton. Cotton does not retain warmth when wet.
As noted, get out of the wind. Look for or build a shelter that will break the wind. The wind will disturb your outer layer of warmth. I carry a lightweight wind/rain layer with me on every hike, it lives permanently at the bottom of my pack. In a pinch, you can use it for other purposes (gathering water, flotation device, small tarp, etc.); so, it's worth its small weight.
Make sure to carry some sort of energy/high protein bar/gel with you whenever you go out. I usually have at least one stuffed in a pocket in my pack. Again, worth the weight regardless of where you're going or for how long.
As noted, learn to make a simple shelter that can provide protection from the elements and warmth. Learn how to properly integrate fire into your shelter plan as to not burn down your abode :)
Insulation on the ground is worth ~1 layer of insulation on your body -- or so.
Always tell people where you are going and how long you expect to be.
In some places, you could be better off to walk during the night to fight the cold and rest during the day when it's warmer.
This works best where the temperature difference between day and night is big, like the desert for example.
