catfish: The (too) short answer is that GPS receivers first have to both find the satellites and figure out where you are, actually it's doing both at the same time (iterating). When you move around during this phase it's much more difficult. So, stand still until you've got lock, then start moving.

(Some newer, better chipsets don't have this problem anymore. But the N810 one does, and most chipsets of the previous generation as well.)