When I first played the game, I got lost often. I had to learn old explorer techniques in order to get my bearings.
The obvious: Sunrise East, Sunset West - North/South inferred.
It's best not to get caught outside at night, but if you have a clear sky, I discovered there is a North Star:
The shiny spot roughly in the middle is the North Star. To find it, it's best to do so before you need it (there are a couple that are similar and misleading), and reorient every time you