Where are you going? If only a short walk from the car, is there any chance you may become lost? This is a realistic question.

In the mountains, the clouds roll in. Because you are at the altitude of the clouds, you can get enveloped in "fog". In low lying areas, fog may roll in. Enveloped in a dense fog, most experienced outdoorsmen would be at risk. How much risk, depends on how much preparation and what appropriate clothing and appropriate outdoor gear you have with you.

If there is no natural shelter available if there is a sudden downpour of rain or hail, for example, what then?

It is important to not crouch under an overhang of rock or dirt enbankment. If lightning, lightning travels along the surface. The only reasonably safe place to crouch is on your pack. Mountainclimbers are told to crouch on the coiled rope. Do not lay down. The best thing is to get in where everything is the same height. The forest is basically the same height. One tree is not.

There is survival, by sleeping near the base of thick brush, curled up, knees to chest, hands tucked in. But we can do better. I don't want a miserable night, and neither do you. Reduce risk, by having more shelter than some thicket of underbrush.

I am not a survivalist nevertheless these two videos have helpful basic information: