I use this one:
http://www.buygpsnow.com/OnCourse-Bl...ount)_896.aspx
It's assisted-GPS, which basically means that you download ephemeris data (information on the estimated position and velocity of the GPS satellite constellation over the next 7 days) from the Internet and load it on to the GPS puck. With this data, the puck is able to more quickly pick up signals from the satellites because it knows more precisely where in the electromagnetic spectrum to look.
In good conditions, from being totally cold it can make its first fix in about five seconds. In bad conditions it takes longer, but is still faster than other pucks, or can get a fix when others wouldn't be able to at all.
The software that comes with it is a little buggy and took me a while to figure all of the ins and outs of. The accuracy of the devices is slightly disappointing in my experience, however; not so far off that it's a problem, but despite being able to pull in 8 or 9 sats, it's sometimes off by 10-15 meters.
It has been great for walking around Boston, helping me to discover new parts of the city or more interesting routes to places that I already knew.
See also this thread for more info:
http://gpspassion.com/forumsen/topic.asp?TOPIC_ID=89352