The GPS feature is free, but apps that use it may not be. Google Maps/Navigation is free as well, and assuming you live in a region that has Google Navigation, it's pretty much the most you would need in terms of turn-by-turn directions.
There are other turn-by-turn direction apps in the Marketplace, but some are not free. Also, as someone already mentioned, most GPS apps will require a data plan of some sort to avoid hefty data charges.