Suppose human being evolved a special type of sensory organ that can detect Earth's magnetic field, beside discarding compass when hiking what else can we benefit from this extrasensory gift in the present day?
One group has connected a compass to the brains of blind rats and found it improved their maze navigation skills to be comparable to sighted rats: link. The point there is to develop a prosthesis for blind humans, so we might get to see this question play out in our lifetimes.
People with such a prosthesis (or whatever method your story uses to provide this sense) might be able to tell if nearby electronics were on, perhaps to the extent of detecting spy devices. That would take a lot of interpretation skill, though, so I suspect only a small percentage of people with this sense could detect things that small. As PipperChip pointed out, MRI machines wold trigger this sense so fake medical centers could be caught.
Other than navigation in the absence of technology, I don't think the average person would find this useful day to day.
Navigation would come a lot more easily to us which would probably have lead to human exploration and migration a lot earlier in history. People would travel further which I think would mean they would have more exposure to other cultures and as such would mean that in modern times, there is far more tolerance and understanding between civilisations and races, and the sharing of ideas leading to improved science / technology / society.
Whether this would have lead to an increase in war or an increase in peace (or perhaps just different wars and peace, war being more about competition for resources than cultural difference) is probably up to the writer.
Going back to more recent history, I'd think that empires would possibly have been larger.
I don't agree with the people saying that it would be odd or disorientating around machinery and magnetic fields. If it were something we evolved (rather than an implant or something), then our brains would be well able to tell the difference and make sense of it I think. e.g. it would be comparable to us being able to see, but not being disoriented by lightbulbs in the vicinity, or being able to smell without being overcome by every particle-emitting object we walk past. Also, devices would have been invented with this in mind.
A while ago a friend of mine attached small neodymium magnets to the backs of his fingernails with nail polish for a few months giving him a sense similar to the one you describe, though much more localized.
One day my friend and I were going through a shed full of tools and electrical equipment. My friend went to pull something out from under a desk when he yelled and suddenly jumped up away from whatever was under the desk. It turns out that whatever it was had been shorting 120v AC (what comes out of a wall socket in the US) through its metal chassis and thanks to the magnets on my friends fingers he could detect the electricity without receiving a shock.
So aside from the obvious navigational benefits, a magnetic sense would allow you to detect possibly dangerous AC in your environment.
Some things to consider, if we have a bit of metal in our heads (perhaps like pigeons) which tell us which way is north:
Magnetic Fields from machines could be felt. MRI machines, labs with magnets in them, even strong speakers could feel very odd. This is because these things produce magnetic fields, which could interfere with this sense.
Local Variations in the Earth's Magnetic field could be felt. While it is true that a compass will generally point to magnetic north, this isn't the case in every location on earth. These variations could be another aspect of a place which makes it unique.
Getting lost, as the OP mentioned, would be harder, and not just during hiking. We would usually know which way is north, which can be helpful in every environment.
You may be able to detect buried power lines, as a current creates a magnetic field. (See Ampere's Circuital Law) This could be both good and bad; construction site diggers could tell where not to dig, but terrorists could find them more easily.
Radio Waves are a type of electromagnetic radiation. Strong radio waves are known to cause confusion to species of migratory birds who rely on magnetic sensing ability to tell the direction.
Overall, my hypothesis is this:
If an evolved brain has the ability to sense magnetic field (and thus radio waves), they would be able to process it at least to some basic level (feeling signal strength of wifi, being able to tell population in an area by overlapping radio signals etc. Furthermore, at some point, a mutation can cause a person to be able to decode signals and thus have the ability to directly receive digital communication which gives him/her the evolutionary advantage. From there on, the possibilities are endless.
A belt is worn that has 13 evenly spaced vibrating devices. The device closest to magnetic north lightly vibrates.
Over a period of weeks the users would develop a feel for the orientation of different locations and how they related spatially to one another.
One experiment blindfolded the users and then led them along the edges of large geometric shapes. The users were made to walk the last leg of the shape on their own. Using the device, and being trained in using the device, increased the ability of the users to arrive closer to the origin point.