Due to the nature of many injuries your awareness and ability to treat yourself may be impaired. Therefore, extra care should be taken. Don't do anything rash or hastily as that will probably just make things worse. Take a few moments to collect yourself and get an initial impression of how you feel.
Your first concern is to prevent further injury and get yourself into a safe position. What this involves will depend on the state of your injuries and your current position. You want to move to somewhere where there is no further risk of slipping/falling/getting hit by rocks etc. However, you are probably not feeling the most agile right now and don't want to cause further injury so think carefully about if you should move and do so carefully. If help/other people are nearby now is the time to try and contact them, they will be in a much better situation to assess the dangers and help you.
Once you are safe you should assess your injuries. The good news is you are conscious (or you wouldn't be assessing yourself) so you are not dying immediately. However, you may still have life threatening injuries that need immediate treatment. Unfortunately, most of the more serious injuries lead lower levels of consciousness and awareness making them difficult to self assess. Again, contact help if possible. In roughly decreasing level of seriousness some major things to check for are:
Head injuries: Head injuries can lead to concussion and/or internal bleeding both of which can be very serious. Check for any bleeding or swelling around the head. Can also lead to lower levels of consciousness, confusion and vomiting. If you suspect severe head injuries or conditions worsen you should get professional help as soon as possible. Direct treatment in the wilderness is limited - apply ice or cool any swelling and stop further bleeding.
Severe bleeding and shock: Severe bleeding can lead to large loss of blood, resulting in shock and loss of consciousness. Your first concern is to prevent further blood loss. Check your body for any bleeding. Treatment for bleeding is to apply pressure and then bandage. If there is a large object stuck/impaled in the wound do not move it as this may make the bleeding worse.
Shock can be caused by large amounts of blood loss and can result in confusion/dizziness leading to unconsciousness. This can make it hard to self assess. Treatment is to stop any further blood loss and if possible raise the legs to increase blood flow to the heart.
Hypo/hyperthermia: Depending on the weather conditions and how long you have been out in them you may be at risk due to exposure. The symptoms of these are quite well known but should be they also lead to confusion and lower levels of consciousness again making self-diagnosis hard. Try and protect yourself from the weather and heat/cool your body as appropriate.
Breaks and sprains: While brakes and sprains are not generally immediately life threatening, if they prevent you moving that can become a major issue in a wilderness situation. Learn how to splint the most commonly injured areas. I like to carry a SAM splint in my first aid kit as they are very flexible, light and easy to use, but sticks and walking poles also make good splinting materials.
I'll focus on lower body injuries. Upper body break can be very painful and should generally be splinted and or immobilized, but generally won't stop you walking to safety. For femur (thigh) or pelvis breaks your are probably screwed without assistance. The force required to break these and the amount of blood vessels in these areas will result in severe internal bleeding. Your should try and minimise this. For pelvis injuries you want to make/apply a pelvis splint. This basically pressurizes the pelvis to minimize further bleeding. For femur injuries a traction splint can be applied. These can be rigged up using a hiking pole. However, they are quiet difficult to apply correctly. In either case you aren't going to be walking out so need to be able to contact help.
For lower leg injuries the area between the knee and ankle should be immobilized. Sticks or walking poles can be used to do this although sleeping pads also work well. Depending on the severity of the break you will probably be able to walk out although it may be very painful. For ankle injuries either splint the ankle or just bind tightly with a bandage. Again painful but probably walkable.