I think these are all meant for different situations. For example you can't look for the Sun if its cloudy. Also, the horizon is usually blocked by a lot of buildings in big cities, so even if it is clear, you won't be able to find the sun pretty easily. Also, if you don't have a watch and the time is somewhere between 11 and 1 o'clock how can you tell if the Sun is in the Southeast or Southwest?
>For example you can't look for the Sun if its cloudy. //
I do - one can often tell where the brightest part of the sky is even on an overcast day; knowing roughly the time and season (for a known geography) then gives a rough direction. I read a report that polarising sunglasses help this too but I've never actually tried. With me it's sometimes more of a perception that the sun is in such a direction whilst I can't really make out that part as [particularly] brighter.
However we rationalize, finding your way out when you are lost in a city based on wind erosion patterns or the direction in which the wind is blowing the clouds, is perhaps how Sherlock Holmes would find his way. I'd rather look for someone to ask directions, look for road signs, landmarks, payphones, maps, city's skyline, metro stations etc.