I think there's more to be said about OM's advice to "look back frequently".

It's the key to knowing where you are and backtracking your route. It's the key to not getting lost.

When you're not lost there is no emergency (for being lost anyway), so your training should be to avoid getting lost. I don't think you can simulate being lost with a blindfold test. That's really more of a "Survival" or endurance type test.

Personally, I think the suggestion of bushwhacking into an area that is of a restricted size and bounded by roads is the very best way to learn how to understand where you are and backtrack your route.

I agree too that about a 1/2 mile square is a good size to start off with. Take a pack with everything you need to spend a night or two and go in there and wander around off trail and find your way back. After you can get around that area and always know where you are, and find specific spots you've been to before, go do the same at another. Once you're comfortable start working your way up to bigger areas.

Once you understand how to navigate using the bigger, longer range features for long distances and the smaller detailed features for particular spots you can start bushwhacking for miles without a map or compass and not get lost. That's not to say you always know exactly where you are, not at all, but with practice you can find your way to where you want to go and you'll seldom get the burning rush of adrenaline that fries your brain when you realize you don't know exactly where you are.

So, while I completely agree that map and compass skills are very important, and fun to learn and use, I'll offer that practicing and honing your skills for traveling by instinct is also important and fun, and it can be done safely if you approach it right.

Like any such endeavor, you need to understand your limits, and to be safe you need to stay well within them. I've never had much of a problem doing that. It's not adventure that drives me, it's solitude and the thrill of finding super scenic spots that no trail leads to. That, and I just really like to wander around off trail.