I'm thinking Se types probably have the best sense of direction in the stereotypical sense of the term - knowing where north, south, etc. are - having a concrete map in their head of where they are at all times.
I think Si types have a good relative sense of direction. I don't think the actual directions of N, S, E and W hold any relevance to them in terms of reaching their destination. 'North' becomes where they are facing; the other directions fall into place relatively. For example, I can't see an aerial-type map of Melbourne city in my head, though I know all the streets like the back of my hand. My nose is my north, and the city just swivels around in my head as I move. I guess the world revolves around me. It's a subjective viewpoint as opposed to the Se's objectivity.
I guess an Si's sense of direction is an inferior one in that it is only effective in action, not in theory. It can't really be communicated, because it's about reacting to landmarks as they appear rather than having an accurate idea of the distances between landmarks and how everything looks on a map.
I guess it has to do with the static-vs-dynamic concept.
Also, I think Se types give directions in a "right, left, right" type of way, whereas Si types are more likely to say "continue towards the giant pineapple" or something. Though maybe that's getting into Te/Ti territory. Idk.
This is mostly conjecture, so feel free to correct or tear this into shreds as it pleases you.
Also, I was wondering whether Intuitve types could use their Intuition to guide them effectively, or whether they have to resort to using their Sensing functions. I've noticed that Ni types seem to have a fairly shocking sense of direction.