Honeywell do magnetic-sensing (non-Hall effect) sensors, some of which are specifically designed for compass applications. They also do modules.
I've posted the address here before, but don't have it to hand - I'll try and find it later, but in the meantime you could try a 'Search' here.
TDC stock them: www.tdc.co.uk.

I also have some Fluxgate info but, again, not to hand.
Watch this space...