Check out Devantech's CMPS01 Robot Compass Module at WWW.Acroname.com. Uses two Philips KMZ10A magnetic field sensors and a PIC which supports I2C and also outputs a PWM signal proportional to current bearing. This is not a North seeking compass but requires calibration. Once you have calibrated it to the compass cardinal points (NESW) it will output current bearings.

Hal