Having the kind of job that gets me into some pretty stupid places, the Fox 40 whistle is a permanent fixture on my keys, fastened to my belt. In the great outdoors, I also carry a Firefly military strobe, a firestarting kit and an Opinel knife in my trouser pockets. (I reckon in an emergency, I'm less likely to loose my trousres than any other item of clothing.)
Anybody who suggests that a metal whistle might freeze to your lips has obviously not tried running around with an Acme Thunderer on a neck cord. You soon learn to tuck it in your shirt (where it stays warm) after it smacks you in the teeth a couple of times!