A proper shelter must accomplish these things;
- keep you dry
- trap as much heat as possible in the cold
- provide as much shade as possible in the heat
- protect you from wind and aggressive or curious creatures as much as is possible.
Found Shelter is exactly what it says on the tin. Whether it is a cabin in the woods or a cave in the mountain, sometimes a shelter is where you can find it. Found shelters have the benefit of requiring the least work and setup of all your options. The downside is that they are what they are, with little customization going for them.
I once had a boss who got separated from some of our friends during a late elk hunt in the mountains of Idaho. As they were just day hunting he had only a light pack and adequate clothing, but no real shelter supplies. They found him a day or so later, after he hiked his way out to a base camp. He'd located a cabin in the woods and sheltered overnight there. (Breaking into a cabin during normal circumstances is a crime; in a life or death situation, doing what you must to survive -- and nothing more, with regard to another person's property -- most folks are willing to grant you a pass.)
Caves have great shelter properties, but also have major downsides: they tend to be colder and wetter than the surrounding area (except during storms), and are frequently used as shelter by various critters. With those caveats, they remain one of mankind's oldest forms of shelter.
Carried Shelter is the pre-planned and pre-made stuff you carry in on your back: tents, shelter halves, anything along those lines fits this category. The biggest upside of carried shelters is that they're a known commodity -- you know that you have some form of shelter, and you can practice with it ahead of time so that you know exactly what you're working with. The downside is that they take up space in your pack, and even very light tents weigh multiple pounds.
If you have the pack space, carrying some manner of shelter is the best way to go. It leaves the least possible amount to chance.
Built Shelter is the custom-tailored option, but also the most work-intensive. Built shelters are constructed of materials both found in the wilderness, and carried in by you or other people. The best shelters are constructed around an existing base, such as building up a hollow under a tree, or closing the mouth of a shallow cave. Pay attention to your surroundings as you travel, and you'll be surprised at the volume of shelter materials available.
Next week, I'll describe two quick, basic survival shelters that can be built at any time and in any place.