S.T.O.P. (stop, think, observe, and plan) - The first thing to do when you're lost is to stop walking. Sit, catch your breath, and assess the situation.
Think carefully - After you've come to terms with your plight, it's time to think... carefully. Whatever you do, remain composed. Panic is your greatest enemy.
Revisit your footsteps - Ask yourself some basic questions. Go over in your mind how you got to where you are.
Consult a map - Even if the topography looks foreign, try and pinpoint on a map what you see around you.
Use a compass - Reinforce your position by using a compass and determine the directions based on where you're standing.
Use your cell phone - Of course if you have a signal (rare in remote locations), use your cell phone to call or text for help.
Time is not on your side - If you're truly lost, time will not be on your side. You'll need to start thinking about what the weather might do, and how long before sunset.
Stay warm and dry - It's vital to stay warm and dry. Look for dry fuel to make a fire, and use your matches or a magnifying glass to focus the sun's rays to get it going (if the sun's still out).
Stick to your plan - It's important to stick to the game plan. Being lost will not feel comfortable, but resist the urge to wander aimlessly.
Survival kit - Carry a water-resistant survival kit. Include in it items such as a knife, flashlight, fire starter, whistle, first aid kit, and water purification tablets.