Step one: Never ignore your instincts.
Was that movement at the corner of your eye? Maybe you heard something out your window? Someone behind you sounds like they're walking a little too quickly for your comfort...
When something inside you is telling you something is wrong, chances are, something is. Lets call this our survival instinct. Animals have them, and they don't ignore them. They act. The difference with us humans is that we doubt ourselves. We tell ourselves we're being paranoid, that it was nothing. “It was just the wind”, “It was probably an animal”, or, everyone's favorite: “It was just my imagination.”
Eventually, it comes to a point you're in denial. You think that if you ignore it and pretend it's not there, then it'll go away. You've given your enemy the upper hand.
Step two: Don't give in to paranoia.
With step one in mind, it's important not to become constantly afraid. That fear and paranoia only feeds what it is you're afraid of. You start to see things that aren't really there, your fear growing and growing until you're nearly mad with it. Your enemy feeds off from that fear, and does whatever they, or it, can to increase it.
Step three: Don't let fear consume you.
Even though fear can sometimes save us, it can also betray us. When you give in to fear, you're driven senseless. You don't think clearly, you do whatever it is your instinct tells you. Usually, one of three things can happen: you thrash around madly, hitting anything within reach. You run away as fast as you can in any direction, just as long as it's far away from where you were. Or, you freeze, standing perfectly still, literally frozen in terror.
When you're afraid, you need to keep yourself calm enough to stay in control. To plan an escape route, a way to stall your enemy, then run when you have the chance. When you do get that chance, obviously running deep into the woods is a huge no-no. Your best chance is running toward civilization, to groups of people. Whatever is chasing you will likely be discouraged and give up. But sometimes, running may not even be an option. In fact, sometimes it's the worst idea. You're probably one of those people sitting through the movie thinking: why doesn't that girl just turn around and kick the guy in the nuts?! That's what I'd do!
This would be one of those times to test that theory. When you're running, and it doesn't look like you'll make it, your best chance of survival may be to stop and turn around. Face your enemy. Who knows, this might throw them off guard. They could be all bark and no bite. Then throw yourself at them with everything you've got; blind them, break their leg, anything to give yourself an advantage and make it out alive. In the wild, wolves don't go after prey that fight back, or the strongest of the herd. Again, this could discourage whatever it is that's after you, and make them go away. Or, at the very least, the nightmare will be short, and ended quickly.
Now, the purpose of this writing is to, say, “prepare you”. We're afraid of something out there, aren't we? Whether it's the dark of the unknown, or a real, living person who wishes to harm you, there are a number of mistakes made that are common in these scary movies and stories you watch or listen to, some of which are true. These steps were made in hopes of fixing them, and keep you from repeating them.
There's just one last step to go over. Don't worry, it's an easy one.
Step four: Look behind you.