My GPS uses whatever coordinates that are easiest to read on my paper map. In my country, that is UTM, and I think that would be true for the majority of maps in the majority of countries. I consider GPS a very nice addition to paper map and compass, but I take a "I love to use it as long as it works" attitude to the GPS and refuse to consider it my sole or primary means of navigation... Too much that can go wrong.
A nice twist to UTM is the MGRS system:
http://en.wikipedia.org/wiki/Military_grid_reference_systemThe essence is that for an accuracy of 100 meters, you only have to deal with 3 decimals in each directions. Ordinary UTM coordinates are 10 decimals. I can remember two numbers of decimals, but not two 10-digit numbers, so it makes life a lot easier. On the maps I use, the kilometer markings are gridded and numbered, so I can read them directly off the page even when the map is folded. My GPS supports MGRS, but not everyone will.
And - switching between the different coordinates systems on your GPS is typically done within seconds, so if one set of coordinate system does not suit you, just switch to another. Make the gadget work for you, not the other way around.