Shelter

In a survival situation, the "Rule of Threes" prioritizes what the body needs in order to survive. Normally, the rule states that we can survive

3 minutes without breathable air, and
3 days without water, and
3 weeks without food.
Some people even add shelter to the list: 3 hours (in a harsh environment) without shelter.
Although it is a generalization, it is still very useful in determining priorities in an emergency situation.

Shelter is one of those things that you, probably, won't think about unless you're in a survival situation, or unless you live in a place that's constantly affected by natural disasters (hurricanes, tornadoes, earthquakes, etc).

Depending on the circumstance, though, shelter could be your most immediate need (more than fire or water). If, for example, you are stranded outdoors, and it is raining and cold, then shelter may be the most important need, for you, in that moment - hypothermia would be a serious risk in such a situation.