Some GPS applications (like Nokia Maps) use the GPRS/3G data connection in the background. The data connection can usually be disabled in the Settings. If it's using the data connection while you are roaming, it could be very expensive.
Unless the GPS application is downloading stuff in the beckground, there are no cost for using the GPS.
In my experience Nokia Maps is are not the best GPS program available, Garmin Mobile XT is much better.