If I am running in a remote area or in winter I carry an Adventure Medical Kits emergency bivvy with me.
This small, lightweight sleeping bag type bivvy bag is a great piece of kit which will take up hardly any room in your bumbag or pack. If the worse thing should happen and you or a mate gets injured whilst out running in bad weather then this could really help prevent hypothermia whilst you wait for mountain rescue.
The bivvy is basically a large bag made of heat reflective polythene that you can get in to. As it is a bag rather than a blanket it traps heat effectively and is totally windproof thus creating a protective environment for anyone who is immobilised. Note that it is not breathable and so condensation will build up in it over time so it is not suitable as a sleeping bag!
Unlike the traditional plastic orange bivvy bag, this version is made of much thinner polythene meaning that it packs far smaller and so is suited to packing into a bumbag or similar. They are available in different sizes i.e. one or two person, I use the smaller version.
Some mountain races and long winter races such as the Trigger have emergency bag / bivvy on the mandatory kit list. the AMK one is ideal. At around £15 it really is an essential piece of kit for anyone running in more remote areas.