I wish I had a...
Compass. The answer is a compass. The thing is you better know how to use it too!
A compass is a valuable piece of gear that could get you out of a lot of trouble. My favorite style is the Suunto mirrored type like this: One I always have. It's cheap, reliable, accurate for my requirements, and not bulky or heavy. This one is made for the Northern Hemisphere so make sure that if you're traveling south you get one that works where you intend to go. They do make global ones but they're a little more expensive. If you travel a ton it might be worth the extra few bucks, otherwise just get a few of each (two is one and that shit..).
With a compass and nothing else you can do quite a lot. Most importantly, you can orient yourself. You can also move in a calculated way and record your movements so that you can back track or make a map of your movements for later. Just bring a small notebook and pen and you can get by without a map (not ideal but it works).
Probably smartest is to go somewhere and to conduct a map study prior to your departure so that you have a mental map and plan for what to do in the event something doesn't go your way: note handrails, backstops, emergency egress plan, landmarks, and directions to find them like were doing here at a GORUCK event:
These models are reliable and cheap. They're tough too, I have smashed, bonked, dropped, buried, washed mine so many times and it still works fine. Its also light weight which I like; I'm not one of those guys who prefers a lot of weight in my bag. However, its really only as reliable as its user.
A compass is accurate if you follow the appropriate protocols. First you have to make sure the dials line up with the arrow in the correct way. To line them up you have to view them from above; the problem with looking at the dial from above is its below your eyes and you're trying to line it up in your direction of travel. I think of it like using a hand gun. You're intention is on something in front of you but you can't reliably hit that target aiming from above. Thats where the mirror comes into play. if you hold the compass up in line with your line of sight, and tilt the mirror to around 45 degrees you should be able to aim as well as see the dial and needle without needing to move the compass; this improves accuracy from lost to actually navigating.
These two would look a lot more confident with a compass in those hands!
A compass points toward magnetic north. You probably knew this. But what a lot of people don't realize is that magnetic north isn't the same north as the one on your maps. Now this post is about the compass specifically but realize that when translating between map and compass you need to have a conversation about declination. It can be confusing without the right attention so until then forget about it. Want to learn how to use them and raise your skill level from 0 to expert? try a GORUCK CORE or Legacy event where experts teach you the details you'll need to know to navigate day and night alone with map and compass.
Otherwise make sure you have one of our constellation or survival kits on hand.. you could be out a while.