Though it can be lots of fun to put together a kit item by item, a fast, easy, and pretty cost effective way to put together a kit is to buy a Doug Ritter
Pocket Survival Pak and then suppliment it with additional items as recommended by Doug in the material that comes with it:
>Pocket Survival Pak
>Folding knife w/ locking blade; >=2.5 in blade; one-handed opening
>Pocket-sized personal shelter: space blanket, bivvy sack, large bags, poncho
>Pocket-sized or key-chain flashlight: LED w/ constant-on switch
>First aid kit: such as the AMK Pocket Medic or Ultralight .5
>Personal supply of Water: container plus purification means such as the Katadyn Micropur MP1 purification tablets
>Personal medications if needed (rotate regularly)
>Waterproof matches: such as the REI Waterproof matches, though lots of folks add a Mini Bic lighter
>Personal Locator Beacon: if you've got the cash
In addition Doug recommends:
>Leave trip plan with a responsible person
>Travel with a companion
>Dress or take clothing for the weather
Doug's PSP contains:
>SparkLite Fire Starter
>4 SparkLite Tinder-Quik tabs
>Fox40 Howler Whistle
>Rescue Flash Signal Mirror
>20mm Survival Compass
>Duct Tape
>Stainless Steel Wire
>Braided Nylon Cord
>Black Nylon Thread
>Fishing Kit - 4 hooks, 2 split shots, 1 snap swivel
>HD Aluminum Foil
>Pencil & Waterproof Paper
>Scalpel Blade
>Survival Instructions
>Contents List
>Fresnel Lens Magnifier
>Vinyl Pouch
The items in the kit are first rate gear. I really think buying the kit and then supplimenting is cheaper unless you already have most of this stuff.