Although occasionally useful, one major downside is it can't be used by third-party apps e.g. iGO, Google Maps, etc. Well, that is until XDA member Mach2003 decided to play with and alter the GPSModDriver.
Stressing that this is still beta, the .cab file will allow interaction of the compass with those GPS apps, though each one will vary in terms of action.
For instance, Google Maps won't rotate the map for you (shame) but it will give you a constant blue arrow for direction status (sort of like when you a driving, but now it will work at all times and be more sensitive). iGO8 in 3D mode will "...rotate with the entire screen according to your compass heading, as long as you have a GPS fix"
Of course this is the tip of the iceberg and we're sure digital compasses and GPS on Windows phones is just starting.
[thanks you know who for the tip!]