While playing with the new navigation in Google Earth 4.3, noticed its not always easy to get your bearings (bad pun), also been wanting to play in PSP today, so set to do something about both. The result? A ScreenOverlay showing a compass star on the navigation control.
Note: I do also have a network link that shows the more exact bearing as a placemark label.
(part inspired by)
Updated to add: This has inspired a similar compass that rotates, nice work Gerardo64!