GPS receivers are great, but good navigation skills start with understanding the basics -- map and compass. A number of different compasses can serve you well. The Compass Store is a good place to find many options. My favorite user is the Suunto M-2G. IMO it's their "Best Pick" for good reason.

Once you have whichever compass you select, learn to use it in conjunction with a map (topo, street, whatever) to stay found. Refinding yourself after getting lost is not always as easy as you may think, even with knowledge of map and compass.