A shelter can protect you from the sun, insects, wind, rain, snow, hot or cold temperatures and enemy observation. It can give you a feeling of well-being. It can help you maintain your will to survive.
In some areas, your need for shelter may take precedence over your need for food and possibly even your need for water. For example, prolonged exposure to cold can cause excessive fatigue and weakness (exhaustion). An exhausted person may develop a "passive" outlook, thereby losing the will to survive.
The most common error in making a shelter is to make it too large. A shelter must be large enough to protect you. It must also be small enough to contain your body heat, especially in cold climates.
Information courtesy of the U.S. Army Survival Manual