Hall Effect Sensor.

[jzampier]

With regards to sensors in general:

Buy good sensors, but make sure you consider their context of operation:
Example: Last season I used optical sensors with white lines on output
sprockets to count wheel revolutions. Didn't get me very far because the
robot wheels slipped horribly. I probably would have required some kind of
accelerometer to determine forward velocity independantly.
(Think like this: If i know how fast I'm going forward and my wheels are
going faster than that, they don't have full traction)

Also, consider what you are trying to measure, because integrating
sensor values introduces a large amount of noise into the system.
(Little bits of noise, added up over a 'long time')

I'd avoid getting fancy compasses or other such devices. But If you want to
read about them... look here:
Honeywell Magnetic Sensors

If you are interested in the Hall Effect, grab a physics book. I believe
Fundamentals of Physics by Haliday, Resnick, and Walker covers the Hall Effect.