I have a program called run.gps that's great (
http://www.rungps.net/) It not only traces your route as you go, but keeps stats such as average speed, max speed, elevation change. Also, it will do a live track, uploading your location every 20 seconds to a web site that all your friends can watch. You can then upload the final track to the site and export to google maps, google earth, or other formats and immediately see the overlay.