There is the shadow stick method;

http://www.youtube.com/watch?v=u3l49zQREcY

Works quite well if you don't mind waiting, although depending on the time of day at certain times of the year above the arctic circle could actually point you South rather than North

Doesn't work too well on the moon though as you need the light source to be non divergent i.e. a light source far enough away to create parallel rays

In the UK there is also the Satellite TV Dish Method, this can give a very accurate determination of finding True North. But this is for more urban areas.