I like to find a Troll Cave, kill the occupant and build a basic shelter in it via "Build Restriction Tweaks" https://www.nexusmods.com/valheim/mods/1606

I can also build my own basement out in the wilds by using this mod, which places a ladder in a little hole in the ground which you enter as if it was a dungeon. You can add a basement into a basement up to 5 times, it says. I haven't done that yet as one basement suffices for a little outpost. https://valheim.thunderstore.io/package/sbtoonz/Basements/