Lara has a compass in her inventory, it'll appear in the circular display of the items.
In The Last Revelation
In addition to helping in getting oriented, the Compass can also be used in cheating in The Last Revelation. To use cheat codes succesfully, Lara has to be facing directly to north. The easiest way to do this is to find a block and grab the south ledge of it. When Lara is positioned correctly, the red needle that points north turns transparent, at least on most video cards.