A significant amount of the information your brain takes in is through your eyes. Having a flashlight or headlamp can help you avoid getting lost outdoors or give you extra hours to set up a survival shelter, find firewood, etc. More than that, light can be comforting. It will help you fight off the feeling of helplessness that comes with having a major sense organ rendered ineffective. Thus, a light can be a very important piece of a survival kit.
Lights can also be used to signal others to assist in your rescue. Being prepared to signal at all times is pinnacle to getting rescued. If you want to be rescued, you should be working as hard as you can at all times to that end. Lights are obviously best at dusk or night, so you should carry at least one daytime signaling device as well.