Handheld GPS devices may be the rage today, but a quality compass will still get you out of the woods. A moderately priced Boy Scout compass will do the job, and without batteries.
Let's say you're driving on a back road to a new hunting spot. You arrive at a pull-off area and decide that you want to hunt the woods on the left side of the road. Pull out your compass and, holding it level in front of you, turn your body so that you are facing perpendicular to the road with your back facing the woods you want to hunt. Turn the needle housing until the arrow on the housing aligns itself with the magnetic needle. Put the compass in your pocket and go hunting.
When you want to return to the car, just pull out the compass and turn your body until the arrow on the housing aligns itself with the magnetic needle. Look ahead and pick out a tree or other landmark to walk toward. When you reach the landmark, take another compass reading, choose another landmark, and walk to it. Repeat the process until you hit the road.
True, using a compass this way is not as accurate as a GPS, but unless you're going to roam over several miles, this method is good enough.