The better ones will do that. The Garmin I mentioned will easily do that. I do that all the time. When I find deer trails while scouting I turn on the track and follow the trail. Then I upload those tracks to my mapping software. Great for seeing patterns. You can save those tracks on your GPS and then have it follow the track every time you want to go back to that spot.

Another good GPS is the DeLorme PN-40.