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Umm... Google maps has a compass... which rotates with you as you turn. Just look at your icon on the map, at has an arrow facing the direction you are.
Well, no. Some devices have a compass in them, and Google Maps uses it if possible. If your device has no inbuilt compass (think iPhone 3G, from memory), there's nothing Google Maps can do about it.
Oh, my bad. I actually thought it was a feature of the GPS, not a separate sensor.