Using an inexpensive GPS module that outputs NMEA codes and some Arduino-based hardware, Dave has created a simple yet effective LED compass. Using the popular tinygps Arduino library, Dave's code can determine the heading and illuminate an LED as such:
The housing is from a car dashboard gauge and is quite appropriate. At first this may seem like a complex project, but as shown on Dave's site it is incredibly simple to build and code for. All the required code, circuitry and more can be found here. To get started with your own Arduino-embedded projects, use a Freetronics LeoStick - one of the smallest Arduino-compatibles on the market with onboard USB, piezo and RGB LED: