People refer to these items as space blankets, survival blankets and mylar blankets.
They are very lightweight and have some interesting properties. Mylar does not breathe, can be loud and will tear. Mylar burns at 489℉ (254℃). It also reflects light and heat.
Mylar can be torn into strips and used as cord, in case you forgot to bring your paracord.
You can also wrap things up in it and use it as a container. With a little cord you can make a strap and tie it on your back or belt.
Direct heat from your fire back towards you. Put mylar on the other side of your fire and it will reflect more heat your way.
Fire starter with sunlight
The reflective properties can be used to direct sunlight to a particular spot to heat up your tinder. While we have not actually gotten this to work, some people do. You can also use it to block wind to help you start a fire via another method.
Tiny strips can be put on a hook and used to attract fish.
You can use it as a container and hoist it up into a tree with some paracord to keep your food away from bears.
Drinking Water / Water Barrier
If you are in an area with rain, you can use Mylar to collect water as it falls from the sky.
Using the properties that reflect light and heat, you can melt snow for a water source using a Mylar blanket and sunlight.
You can form a makeshift container that will hold a liquid. Tie it off with some paracord and you are good to go.
You can improvise a quick set of rain gear using a single, or multiple Mylar blankets.
Tie some around your shins to keep the liquid from soaking your pants.
Shelter / Sleeping
Use a little bit of cord between two trees and drape your Mylar over it. You can make an impromptu sunshade or shelter from the rain/snow.
Insulating yourself from the ground can be one of the most important things in trying to stay warm. You could take pine needles or leaves and pile them up and then place a Mylar blanket on top of them to form a sort of poor man’s Thermorest.
There are commercially available Mylar sleeping bags. They might not perform as well as your standard sleeping bag, but you could fit 5 of them in your pocket. A good addition to any survival kit.
If there are people searching for you, or air assets involved the reflective properties of Mylar can come in handy.
Marking a Trail
You can leave little bits of Mylar stuck on trees or other things in nature to mark your path. While you shouldn’t litter, there are probably legitimate reasons to be doing this in some situations.
You can use them in the course of splinting or making a sling for an injured extremity. With a little cord you could do it as well as just about any product for that purpose.
You can die quickly of hypothermia. As is their stated purpose, Mylar is often used as an emergency blanket. It can definitely help reduce the amount of heat you are losing. While a sleeping bag, quilt or something else may be ideal, you can’t fit those things in your pocket. You will find space blankets in many first aid kits.