Finding shelter in the woods is a big part of survival and comfort.  It doesn`t need to be fancy. All it has to do is keep you out of the weather.  

There is a difference between an emergency shelter and a shelter built because you choose to travel without a tent.  Emergency shelters are usually minor improvements on existing items - boulders, overhangs, fallen trees or the snow pit surrounding the trunk of a tree in winter.  

Even without an axe or knife its possible to gather fallen branches, or break some off of trees, and lean them against something to create a space out of the wind and weather.  A fallen tree that has been snapped off by a storm but is still attached to its trunk is a starting point.  Break the branches off it and lean them against the trunk to create a lean to.  Layer them as much as possible to deter rain from leaking through.  Pile as many big sticks as you can against the branches to secure them against any wind.  You can try the same thing at the base of a rock outcropping. In an emergency the shelter doesn't have to be big - in fact, smaller can be better.

In winter you may have to tough it out through the night if you get lost.  One option is to get under the sheltering branches of a big evergreen.  There will be a pit around the trunk where the branches have kept the snow away, and this will provide some shelter on its own.  You can improve that by leaning branches and sticks against the trunk of the tree and then climbing underneath. 

Choosing to build a shelter from natural materials rather than using a tent can be rewarding.  In some places, such as parks or areas with high human pressure, people may frown upon it, but in many parts of Canada there's absolutely no problem.  The great thing about a non-emergency natural shelter is that you can bring some materials and tools to make it easier to construct, and once you've done it you'll feel more confident that you'll be able to handle an emergency situation.

Perhaps the simplest, and most traditional natural shelther is a lean to.  Find a flat area big enough to lie down on, preferably with two trees standing five to ten feet apart and perpindicular to the way you'll be lying down.  Cut a pole long enough to span the distance between the two trees and lash it to their trunks at shoulder height or perhaps a little lower.  Think about where the wind may be coming from, and remember that the higher it is the more wind it will catch.  You'll want room to sit up beneath the lean to, but you don't really need room to stand up. 

Next take two more poles and run them from the ridge pole to the ground on one side. These are the rafter poles. Viewed from the side you'll have formed a triangle with the ground being one side, the open front of the lean to being the other side, and the two poles the hypotenuese.  Lash these two poles securely to the ridge pole. They are likely to be about 8'long for a small lean to. 

Now you'll need to collect a bunch of evergreen branches. You can take these off trees that you leave standing, but  it might be easier to actually knock down five or six small trees that you can use both for poles and branches.  If you've got a nice campsite that others have used or may use in the future don't hack the branches off every tree in sight.  Walk a distance from the camp and be selective.    The length of poles you'll need to act as cross pieces on the lean to will be determined by how far apart you place the rafter poles. If they're six feet apart you'll need cross pieces at least six feet long, meaning you'll probably have to knock down trees that are at least ten feet high.  

Drag the trees back to your camp site and clean the branches off them. Take the resulting poles and lash them perpendicularly across the rafter poles (a wider lean to may need more than two rafter poles - use your judgement).  Lash the first pole near the bottom, about 18" or two feet off the ground.  Space the poles out so that you can overlap the branches. You're going to start by placing one course of branches, thick end pointing upwards, like shingles, with one end on the ground and the other on the crosspiece.  The second course runs from the second cross piece downward, overlapping the first course.  Repeat this process until you've gotten to the top.  Pack them tight if you expect bad weather.  If you have left over branches and time you can add sides.  If you like you can make the structure a two sided lean to, so that it looks like a peaked gable roof on the ground, but in this case start with a higher ridge pole. 

In some forests you can find several young trees or bushes that form a rough circle.  You can strip the vegetation from them  and bend the tops down and tie them together to form a dome.  Pliable branches are then lashed horizontally to the frame and boughs are used to cover it.  

If you don't want to cut lots of branches you can still build a lean to frame and simply cover it with a light tarp.  Its fast and easy, and allows you to enjoy the fresh air as you sleep.  In some respects bigger is better if you go this route, as you can keep gear dry in addition to yourself.  Remember, though, that tarps catch wind.  An open lean to that is poorly arranged can get torn up by a strong wind, and it usually happens in the middle of the night.  Either close off as many sides as you can or leave a way for the wind to get out easily to avoid this problem.