I use the Maps app to drop a pin and then either save it later once I get data access or save it to a new contact and then work on it from the Contacts app at a later date.
This avoids needing a dedicated GPS app to save waypoints, but there are hundreds of those as well should you want to go shopping on the iTunes store for a more GPS like experience.
You can also get many apps to do this - here are the ones I like and use:
- Pro Compass - most basic - compass and coordinates - no log file functionality.
- Spyglass - basic Augmented Reality (shows camera and an overlay of GPS and other data). No log file functionality, so you would save snapshots of the screen to the camera roll.
- Theodolite - Has log file functionality and all of the above. Can snap the screen easily, add annotations to the locations it logs, etc... A veritable swiss army knife.
None of the above apps need data connection - just your iPhone with enough battery charge to run.