The first time I went trail ride alone I was on a horse I had never ridden before. I was just messing around and decided to go around the loop, a path which would only take a few minutes. Well, minutes turned into hours, and soon I was hopelessly and completely lost. I had my cell phone in my pocket, but I was too stubborn to call for help. The lesson: maps, cell phones, lead ropes, and water!
The poor 'ol girl I was riding got so tired that I had to stop for a while and let her rest. This is why I brought my water and leadrope. Water not so much for me as for the horse. Also, I second pocket knives. I collect knives, so taking them with me is second natural. Knives are the second most useful thing in the world.
When ever you go out of a trail ride, go ahead and assume you'll get lost and be out there longer than you thought.
Also, at a NATRC event, I got this bracelet that unwinds to six feet of rope. It's the coolest thing. I always take it with me in case my bridle breaks or something. Rope is single most useful thing on earth.
I keep all my junk in a little backpack. It's nice and light, reflective, and stays with me when I fall off. I also keep it loose enough to slip out of if I get caught in a branch or something.
If going on a long ride, I recommend either riding in a halter/bridle combination or keeping your horse's halter on underneath the bridle. It's easy and safer then changing between them on rest stops. Don't want your only way out of the woods getting away!