To add another data point to this discussion:
AT&T 8525 Pocket PC Phone (aka HTC Hermes) running WM5
GlobalSat BT-338 SiRFstar III GPS
WM5 manages the GPS connection, with GPS program port set to COM1 and GPS hardware port COM5, baud rate 115200. Every other GPS-enabled app works great, and I've used pretty much all of them. Right now I regularly use Google Maps, Microsoft Live Search, and iGuidance. All work without a hitch. iGuidance is the only one which requires manual GPS config. The other two don't let you or need you to manually configure.
When I launch Wherigo Player, it flashes briefly (< 1 second) "GPS Device Detection in Process..." and then brings me to the Cartridge Menu. The satellite and bars icon remains red. In the tutorial, it tells me my satellite signal is too weak to put on the space suit. Meanwhile I can launch any of the other GPS apps and get 5 or 6 satellite locks.
I tried rebooting, I verified that I have no other apps running, and I think I've run out of debugging ideas... Guess I'll wait and try the next version when it drops. Let me know if I can help debug this or serve as a guinea pig. Can't wait to take Wherigo for a spin!