Whether you are spending a night out in the woods just for fun to practice your survival skills or you are in a real survival situation, shelter needs to be one of your top priorities.
In any climate protection from the elements is vital for your survival. When you are in a hot climate, where heat stroke, dehydration, and sun burn are a big concern, your shelter should be able to give you shade from the sun. In a cold climate, where hypothermia and frost bite are a serious threat, your shelter should keep you out of the wind and cold. If you're in wet conditions, being able to dry out at the end of the day is of utmost importance. Otherwise you could end up with trench foot, which in severe cases can lead to the flesh on you feet basically rotting and falling off the bone.
Something that is almost as important as the shelter is the site you build it on. There are many factors that you look into when choosing the shelter site. You should always check for low spots in the ground where you intend to build the shelter. If a sudden downpour were to come, you could find yourself in the middle of a small pond. Never make you shelter in a dry river bed, which are prone to flash floods. Flash floods kill over a hundred people a year in the US. Dead standing trees are something else to watch out for around the site. This is a greater danger than you might think. I've learned from experience that this is not something to be taken lightly. In a strong wind, dead standing trees can snap like twigs. Animal life is another thing to look after. Make sure you don't build your shelter in the middle of an animal trail or near a bugs nest. You wouldn't want an unwelcome guest in the middle of the night. Build the opening of the shelter away from the direction of the wind as well. Otherwise your shelter could become a wind tunnel making for a cold night.
When you start building your shelter remember to keep it simple. I used to try to build all sorts of complex shelter but ended up finishing none of them. Your shelter doesn't need to be fancy, it needs to be a warm (or cool depending on the climate) and dry place to stay in.