Spring 2010 Sony released the Cybershot DSC-HX5V compact camera with built in GPS for adding geotags to photos.

See a detailed review at the Imaging Resource website.

Their quote on the Sony's GPS capability indicates a GPS and Compass function:

"The Sony HX5V includes both a GPS receiver and compass built-in, allowing it to tag images with both the location and direction in which they were captured. Sony's bundled software and third-party applications such as Google Earth, which can read these tags, can then use the information to display images on a map by location. "