OR!!!! you could pull a Bear Grills and climb to the top of a tree, get your bearings, and start running in some random direction.
Seriously though this is all good advice. On hunting trips I often walk from a road straight into the middle of the woods. With no discernible land marks, I would be lost in no time at all. Without a compass it would be impossible to know which direction to go a couple hours later to get back to the road.
A compass and a good map are always on my list for any trip.