Acroname sells a compass module for around $35 US. This link should help.

http://www.acroname.com/

From Devantech site:

"This compass module has been specifically designed for use in robots as an aid to navigation. The aim was to produce a unique number to represent the direction the robot is facing. The compass uses the Philips KMZ51 magnetic field sensor, which is sensitive enough to detect the Earths magnetic field. The output from two of them mounted at right angles to each other is used to compute the direction of the horizontal component of the Earths magnetic field. There are examples of using the Compass module with the OOPic, BS2 Stamp (I2C Bus), BS2 Stamp (PWM) and BX-24 (I2C Bus) ."

Hope this answers your needs...

Hal