Before I go, I always try to get a hold of a trail map or a topo map, even if all of the trails aren't on it. If I can't do this, I'll look at a regular road map. This way I get oriented and get an idea where everything is in case I get lost. Also, keep an eye on where the sun is when you enter the trail. In the western hemi. the sun rises in the east, sweeps through the south, and sets in the west. It can help you head in the right direction. Especially if you have a topo map and can identify landmarks. Streams and rivers are a big help to.

Always stash a lighter in your camel back/toolbag. If you get caught after dark (I haven't yet), at least you can stay warm.

Exploring is great, you can discover some great new riding that way. Getting lost is fun only when you've gotten back!!

edit: corrected "I" to "eye" - boy, that was embarrassing!