Why is the heading on my magnetic compass different from the heading on my GPS?

The reason for the discrepancy between the heading you are reading from the magnetic compass and the "heading" on the GPS is that the GPS does not receive magnetic heading input. Instead, the GPS will display ground track.

Example: If I am flying and my magnetic compass shows north but there is a crosswind of 15 knots from the west, my ground track will be to the north-northeast (maybe 010 degrees instead of the 360 degrees being shown on the magnetic compass).