Most often the probelm I have is turning the GPS on when it is moving (say on a plane, a train or in a car) and then it can take an awful long time to locate anything
This is a common problem. AIUI, the GPS has to receive a special packet of data to get started, and this is sent every 30 secs or so. If the reception is being repeatedly interrupted, it never gets it. My car GPS (a cheap Sirf 2 chipset job) locks within minutes if standing still but if one just drives off, it can take half an hour (potentially useless).
I am pretty sure the new trains have metallised windows. On the Gatwick train, I generally cannot get any reception on my GPS PDA.