Alright, so your iPhone already has a compass built right into it, but if you want a little more information in your orienteering, you might want to look into this app.
In addition to the standard “North is over there” bit, DueNorth will also give you your latitude and longitude, and plunking your finger down anywhere on the screen will tell you which direction and heading you’re prodding. Plus, the display has a Night Mode, so you can figure out how to get out of the woods without every bear in the vicinity knowing that you’re lost.