There are several posts in these forums regarding CF GPS's. I believe they recognize as /dev/ttyS3.
If you are *just* using the GPS in the car, and not on foot for any length of time, the CF is a good choice since you just have to connect power to your Z from a cigarette lighter adapter.
I don't have any experience with CF GPS's, though. I have recently purchased a Garmin Etrex Legend since I will be using it standalone. It comes with a serial cable.