My only problem with the GPS when I tested today (not used it since installing custom ROM) was the length of it took to get an initial lock on my location. I'd guess about 5-10 mins. It looked like Google maps wasn't working so downloaded "GPS Status" to check. The app showed that the GPS had acquired a few satelites fairly quickly, but pin pointing my location took ages. It quickly got my location back at home when I switched it back on.
Edit: First smartphone (about 2 weeks) or GPS device so don't know if the above is bad or typical.
Edit2: Thanks for the books fix Paul. Saved me some effort
The GPS works if I leave it 10 to 15 minutes! I was used to the Desire locking within 5 seconds.