I use a Garmin iQue 3600, which I absolutely love. It is an integrated GPSr/Palm/Mp3 player. It does auto-routing, with audible turning directions, to get me to the vicinity of the cache. I have a 512MB SD card in it. I have 1:24000 topo maps on it, which I can switch to once I head out on foot. I do, of course, also carry a compass and USGS quad maps if I am in the back country.
I use Cachemate for paperless caching, and have some Stevie Ray Vaughan and Eric Clapton loaded up to keep me company. If the mood strikes me, I can record voice notes while at the cache, rather than type notes into the Cachemate log. I use a Gilsson external antenna, and have a padded waterproof case with a neck lanyard to protect my baby. I also use an external battery pack to recharge it, which uses rechargeable AA batteries. Not the most common setup, but it works for me. Now if only I didn't have to carry a separate camera, I'd be golden!