Probably most of you won't have heard of "Bothy Bags". They were originally designed as emergency shelters, mainly for use in the mountains. They come in various sizes - this one will fit 2 people comfortably and weights 350g. It packs down into a very small stuff sack. The shelter has no floor, you just pull it over your head and sit on one of the edges to anchor it to the ground. Within a few minutes you will have created a warm micro-climate inside and no matter how cold and windy it is outside, you can eat your sandwiches in the warmth.
When I bought one some years ago, I was mocked by my wife, who thought it was a bit of frippery. However, a couple of weeks ago, we climbed Skiddaw in the Lake District. it was about -6C in the valley and even colder, with a bit of a breeze, on the summit. I chucked the bag over our heads and we sat admiring the view for about half an hour without feeling cold. She is now a convert to Bothy Bags.
Bothy bags aren't just for mountain use. If you go for a walk and it's windy and wet, they provide a great temporary shelter. Since it's small when packed and light, you can carry it all the time in your bag. http://www.lomo.co.uk/acatalog/emergency-shelter.html