Whether you want a street navigator to talk you through a city, or a comprehensive outback tracks mapping GPS, these will help you navigate through unknown territory, and enable you to know where you are at all times. They are dependent on a line of sight to a number of satellites, and if in deep valleys and very hilly country they may not work or give a distorted picture. Excessive overhead cover such as we experienced in dust storms in 2009 can also block the signal. Most will do trip planning for you, such as find the shortest route between two places, however do check it on a recent paper map before setting out.
Even when on tracks which do not appear on your GPS mapping, just by following your direction of travel compare to your paper map, if you have taken a wrong road it will soon become obvious. On unknown roads, sudden sharp bends can be predicted from the GPS maps. Co-ordinates can help you find camp sites and other places of interest. We also find it of interest to track altitude, and you won't be able to lie to the navigator if she says you were speeding.
With so many types available from large screen in car systems to hand held portables for hiking, ease of use and availability of mapping that suits you are major considerations for choosing.
One feature I have found invaluable is the 'breadcrumb trail' where the route you have just taken is recorded as a dotted line. Should you become lost, finding your way out is easy by staying on the dotted track. Very useful either when driving or hiking. I recommend using a model with this feature if you leave the main roads or go hiking.