I have a HTC Hero, and the tool I have found that works well (well, works at all...) is GPS Logger. It is currently a very simple application, no options or anything, but it will save my GPS data into a GPX file which I can upload here. Since it's current version number is 0.2 there is hope that eventually it will be possible to set some options, e.g. with regards to the frequency of data points.

The other applications I tried, including BTC Mapper and AndAndo didn't work so well. They failed, and I am not sure whether that was because they lost the Wi-Fi connection or because of bugs.
I have downloaded, but not tried, My Tracks. The reason I haven't tried it is I read a bug report about problems with conversion of track data to GPX format.