Hi !
Well I don't know of any instrument/sensor, But I guess It should be there, as it is used in Auto/Self Guided Vehicles. GPS wont be of any help here. If there is one ..then It should either use earths magnetic field (sense it) and tell the direction or use a magnetic compass. So I guess U'll have to use a magnetic compass, and it has to be always horizontal.
So let's say you buy a compass which has the magnetic needle attached to the dial. So the whole dial rotates to tell the direction. In such a compass , U'll have to make a small hole and keep some sensors (optical) on one side of the dial and a illumination source on the other. F the hole made is on the Magnetic North, then which ever optical sensor is illuminated will be indicating north.
There is also a method, Based on Sun. But the criteria is the sun has to be on the horizon and U have to set the instrument (manual adjustment) of North with respect to Sun's position. There'll be a photocell to see the sun. ( read it in some article on rocket club may be tripoli )
Regards
Vignesh Baliga

Hey ! What R U up to ?, making a Guided missile ? :-)