In the run guide screen the blue arrow will point in the direction you point your phone. The blue halo around the arrow shows you how accurate your phone believes the GPS positioning is i.e. the bigger the circle the larger the area your phone believes it could be located in. Ideally you'll want this halo to be as small (accurate) as possible but that's not always possible due to a range of factors outside of the apps control.

You can also manually spin and orientate the map using your fingers on the screen. This will bring up the black compass in the top right hand corner to a) show you which direction you're pointing b) to allow you to re-set to North at any time.