As Bankswood said, first thing to try is a reboot. I used to have a commonly-reported problem in FroYo - that hasn't manifested itself in Gingerbread yet, but we'll see - where the GPS will simply never get a fix. Rebooting fixed it 100% of the time.
The rest of the steps that he stated are good further troubleshooting - but for me, it was simply reboot and then go ahead and use Maps/Nav/whatever normally.