I must admit I got quite interested in that too. Haven't got off my @rse and looked for any yet though!
I've got a Garmin Etrex Vista, which is quite nice. It has a barometric altimeter and a magnetic compass built in so you can use it both to find out where you are and to figure out bearings against local landmarks, etc.
You can download maps to it to overlay roads, etc. although, while this looks impressive, it's by no means essential if you're just navigating to a waypoint, and it's no use if you're off the beaten track, of course.
The software that comes with it is pretty rubbish, TBH, and this is a common theme with Garmin. They are very good at building the hand held devices and not too good at the supporting applications IMHO. Having said that, once you've downloaded the maps you want, it's pretty much stand-alone.
The hardware is also a little flaky in that sometimes the display packs up and you have to twist the case a little to get it back.
However, if you can do without the moving map and compass, I'd say go for a Garmin GPS12XL from Ebay. Totally bomb proof and reliable, if a little heavy on batteries. Failing that one of the other ETrex models although they don't look as robust.
If you have a PocketPC with GPS you might want to consider MemoryMap. That allows you to overlay proper ordnance survey maps.
Cheers,
Kevin