There's a lot of good advice in this thread already, but here's my two cents:
I pack layer upon layer of clothing. Pound for pound in your pack this is probably the best strategy for surviving a bitter cold night. There is no substitute. Consider how cold you can get during a 30 minute lunch break in winter, and how many layers you are wearing, then pack more. For the most part, layers need to go on without removing other layers -- if I am stuck with a broken leg I will probably not be taking off my wind pants, pulling on fleece pants, and putting wind pants back on. However, I could put full side-zip insulated pants over whatever layers I am wearing.
I question the value of a sleeping bag because it adds weight and bulk to my pack and only serves one purpose. Puffy jackets and pants serve the same function but are much more versatile.
Handwarmers are probably the next best emergency gear but I don't carry them. I think I will start adding them, though, as they would provide easy and quick heat for little weight. Aside from warming hands, they could be used inside layers (but not directly on the skin!) at the armpits or groin to help generate core heat.
A stove would probably be almost invaluable but I can't justify the weight and bulk of a reliable winter stove. A light pack is more important because I can move fast and be less likely to get injured or benighted in the first place.
Building a fire would be tremendously useful in many situations. I am a very competent fire builder (if I do say so) but I sure don't count on a fire. If I find myself in the right circumstances, you bet I'd be sitting next to a nice warm fire, with some kind of heat reflector behind my back. It is equally likely, however, that I'd be stuck in the spruce-fir zone, surrounded by snow ghosts and spruce traps, with little practical hope of sustaining a fire.