The most traditional way to create a signal when you are lost in the woods is to create a fire. Especially during dry seasons, park rangers keep a very close eye out for smoke, and will investigate any that appears. Most areas have very strict regulations regarding where fires may be lit, so even if it's not the dry season, smoke is still an excellent way to attract attention.
Typically, the best signal fire is made with a strong, hot base, made with dry, thick wood. Once the fire has caught, pile green leaves, shrubbery and plants on the fire to create a thick, white smoke. This will be visible from a long distance and will stand out against the environment. If you are lost in the snow, build a fire using sappy evergreen branches, which will create a darker smoke that will be visible against the white of the snow.
A mirror is one of the most reliable survival signaling techniques. American Air Force pilots are typically issued with a mirror in case they are forced to make an emergency landing. Survival mirrors are available at most surplus stores, and make an excellent addition to any camping kit. They have a hole in the center, so that you can make a sighting on someone or something you are trying to signal, making the mirror even more effective. However, when the sun is out, any reflective surface can work as a signaling mirror, including eyeglasses, a camera lens or the bottom of a soda can. Point the mirror at your target, and wiggle it up and down to catch the rays of the sun and create a strobe-like flash that can be seen for great distances.
Visible from the air, a sign as a signal can be very useful, as all it requires is effort. There are several ways to draw attention to yourself. Primarily, anything in the wilderness that appears man made will stand out, but you can take particular steps to make sure you are visible. You can create a sign several ways: By digging shallow trenches, by placing rocks, or by lining up branches. The more permanent your sign is, the less work you will have to put into maintaining it. Trenches can be dug with the heel of a shoe or with a flat piece of wood.
The most simple survival sign is a large letter X, at least 10 feet on each side. More complicated signs include spelling out SOS, or indicating the Morse Code sign for SOS, which is three shorts, three longs and three shorts. This can be formed using branches and rocks.