Have a 1x1 Compass on any Homescreen that you can Activate at any time.
Compass Widget Lite is a free home screen compass widget! It will tell you your direction using the internal compass with multiple compass styles and colors to choose from.
Update 11/09:
Android 2.0 Updates.
Two Fall Compass Pointers!
If you like the free version then upgrade to the full for more styles and features