It's quite often a question I ask myself when lost and confused in a city far from home (and actually I ask myself the question when I'm just popping down the shops sometimes!)
Luckily I recently discovered Navizon which lets me pair a GPS device with my phone and show me where I am on a map (yes, I know I can do the same with Windows Live Search for Mobile but ... there's more to the story). Navizon give users who report GPS data back to them points (and points mean cold hard cash via PayPal). The reason Navizon give the rewards is that their positioning service doesn't just work with a GPS equipped device. If you only have phone (and ideally WiFi) capabilities it can use information about the local cells and visible WiFi networks coupled with the afore-mentioned GPS data to make a pretty good guess as to where you are.
One of the cool things is that the Navizon API is available for other companies to make their software location aware so hopefully we'll see some good things coming soon. In the meantime users can also access data (including the optional "tracker" functionality) to keep an eye out for buddies or alert friends and family when they enter a certain place or use the XML feed to locate yourself on a map.
I decided to have a play with the XML feed and Live Maps to see what I could do...
BTW if you sign up to Navizon don't forget my referal code - 5E585D5B5A :)