norad,

I have a Garmin eTrex Vista, which has a built in compass and altimeter. You don't have to be moving to get a bearing, although it does have to be held level to get an accurate reading. And then it is succeptible to local magnetic variation- I tried finding a GeoCache near "Magnetic Rock" up in the BWCA, and the compass was near useless. If you know your altitude, you can use the altimeter as a barometer instead.

These are the GPS's I've owned or used:

Garmin 250 (panel mounted in a Cessna 172)
Garmin Pilot II
Garmin Pilot III+
Garmin 400/430 (panel mounted in a Cirrus SR20 and Cessna 182RG)
Garmin eTrex Vista (my current hiking GPS)
Garmin 296 (my driving and flying GPS)

Now I'm lusting after the new 396, which has XM Weather built in. It's also $1000 more than my 296, and the Weather subscription costs $30/ month. It's the latter that I squawk at more than anything, so I'm probably NOT going to get it. I can see the value of it though, if I flew more I'd certainly get it.

One thing I would really like to use a GPS for is canoe trips. However, I'd have to bring an extra pack for the batteries- paddling several hours a day would go through quite a few on a week long trip. But I grew up navigating with a compass and landmarks, with the old low-res fisher maps. Never been lost on a canoe trip. Maps are a lot better now, and I bring the GPS, just don't turn it on.