There are two broad types, and two broad price levels. The first is smaller hand-helds that are useful for hiking or biking, and can tell you your average speed, distance traveled, and such, in addition to telling you where you are and where you've been. They typically sell for less than $200.
The second type is more automobile-specific, and can be loaded with more detailed maps, which include the businesses and service facilities that would be included in an American "Yellow Pages" book. I have a Garmin StreetPilot III, which has color maps, and can -- in addition to its trip computer and broad GPS functions -- tell you how to get to any specific address you enter into it. This is very handy, especially in cities you're not familiar with. No one ever has to give you directions anywhere. You just enter the street address, and the computer figures out the way there. It knows one-way streets and other details, as well. Oh, and it talks to you, showing where you are on the map, telling you how far you've gone, and how far you have to go, including when you'll arrive. If you take a wrong turn, it corrects the route on the fly. You simply can't get lost.
I didn't think I'd ever use the business-directory functions. But when you're traveling, and you want to know where the next gas station is, or bank, or what the restaurants are that are closest to you right now, it's remarkably useful.
With mine, at least, you can have it hold detailed maps of any (well-populated) region of the globe.
Here's what it covers in Europe:
The kind I have cost me about $600. I can use it in any car, but my wife and I like it so much we're considering getting a second one for her.
Here's a link.