I spent months searching for a way to get GPS on my Sprint A900 for free before I found MGMaps, which is a free J2ME mobile map program that accesses your phone's internal GPS. I was able to install it after enabling developer access on my phone via a short form on the Sprint page (this isn't necessary for all phones / providers, nor is it difficult). The program pulls maps from the internet, so don't install / run this unless you have a reasonable data plan.
Installation instructions on the page are good / extensive.

http://www.mgmaps.com/

I also heard that Google has a beta version of its mobile maps application that supports phone GPS and tower-based location data.

As for privacy-- I trust free / open software more than closed, but having a cell phone is already a privacy hazard. Sprint probably has a record of everywhere my phone's been in at least the last 90 days, and I assume the NSA probably has some kind of massive neural network analyzing my phone's movement patterns along with a couple hundred million other Americans' phone movements for suspected terrorist patterns.