Spend time looking at a map. Familiarize yourself with landmarks - bodies of water, mountains, large buildings, major roads. Figure out the approximate direction of major roads., Orientation of buildings or parks. Pay attention to which way is north.

Comment about the sun is really good too.

Go without a map, and follow your sense of direction. Only pull up the map if you get lost. This will teach you to think more on your own, instead of following what the map says.