Google Maps Update:
The new 3.3.1 update for Google Maps (permanent link to most recent Google Maps, at the time of writing 3.3.1) adds hardware compass support for the HD2! When in the 'my location' mode, it will show you the direction you are facing by means of the blue my location dot changing into a blue arrow. You may have to walk and turn around a little bit to somewhat trigger the use of the compass. Note that this doesn't work when 'my location' is off (which makes sense). What makes less sense is that it won't work in combination with GPS either. With GPS, the arrow will still be there but will always face north. Maybe a bug?
I didn't find a way to let Google Maps rotate the map on the screen, depending on the direction you are facing.
I've double checked, and this feature is not available in the stock 3.2.1 (#16) Google Maps on the HD2.
Google Maps Update (13 Dec 2009):
This can work when using GPS as well. In Google Maps, apparently it works when you set your GPS settings to manual.
For example, set your baud rate to 57600 (Options -> GPS Settings -> Set Manually: COM4, Baud 57600).
Get compass navigation support in your GPS navigation software! (28 Dec 2009):
Have been working with Mach2003 to enable support for the compass in potentially *all* GPS navigation software!
Get GpsModDriver 1.50beta: http://forum.xda-developers.com/show...&postcount=583