On most cell phones, the GPS option is actually not a feature you can use, but can be used by emergency services (police, ambulance dispatchers, etc) to find where you are calling from if you're in an accident.
Hardly any phones actually have GPS. The operator can use either a triangulation or time delay technique to locate the phone. Accuracy is good in built up areas where the cell density is high. Some operators offer location based services - e.g. "where's my nearest pizza hut", others offer a service to parents to locate where their children are (questionable human rights issue). Contact your operator to see what location based services they offer.
