Evidently, Alexandr Skaryd from XDA had a conversation with HTC Europe about the GPS lag problem. The crux of the convo is below:
Dear Mr. Skaryd I just wanted to get back to you in order to see if you have gotten the GPS working better. I would also like to inform you that there will be a ROM upgrade available in the near future (1.19). Please feel free to get back to us at any time if you have any further questions or queries. Kind Regards Dave Montanya HTC Europe
The bigger news is that HTC appears to be aware of this GPS lag and one can hope that this upcoming ROM addresses this problem.
In case you don't feel like waiting though, head over to M're undefined , who has a very detailed post explaining a "hack" you can do to improve your GPS. Not suprisingly, it partially involves turning off aGPS, amongst other things. Check it out, it seems to be working for folks.