This is all original material inspired by watching Man vs. Wild and figuring out the details the show left vague. I do not make any claim about the origins or authenticity of this knot or its name but I made it and it works.
The applicable words of Bear Grylls from his Alaska Episode are included (as nearly as I transcribed them) in the quotations below:
"And to tie off, I'm using a sledge knot. You won't find how to tie a sledge knot in any book or manual but its used by dogsledders as a really efficient self-tightening knot that will never come undone."
"You take a bight around the rope, ..."
(The line going over my index finger is the end of the rope that will be pulled to tighten it and the loop hanging off my hand is what would be around the load being tightened.)
"... three times, ..." (And yes, he says three times but he does what looks like four times to the rest of us.)
"...just go through the last two loops, ..."
"...over the first, and back down the hole."
(The knot is tightened by pulling the end you just fed through the loop (it has the silver tape on it in the picture) and the part of the loop on the left in the picture.)
This is the front of the knot ready to use.
This is the back side of the knot, still oriented with the loop hanging down as in the pictures above.
This is the whole picture: you would tighten it by pulling on the long free end. **PLEASE NOTE: WARNING: THIS KNOT MAY NOT BE POSSIBLE TO LOOSEN WITHOUT CUTTING THE ROPE. MISUSE MAY RESULT IN DAMAGE, INJURY, OR DEATH.**
I have very strong hands and at first I could pull loose the knot I made by pulling the loop open but after I tightened the knot (see the third picture above this one) further it held very tight and would not come loose under the force I could exert. I could, however, still make the loop bigger by holding the knot in one hand with the loop hanging down and the other two lines going over the top of my hand and pulling the correct side of the loop downward (aka pulling the rope straight through the knot instead of at a right angle (i.e. the picture above has the rope entering the knot after making a right angle turn).