It depends on the device. Some devices have built in, offline maps, some do not. A GPS watch will not require a SIM card. Dedicated GPS devices don't either - a Garmin or TomTom GPS has maps downloaded from the internet when you connect it via USB.
As far as GPS via a smartphone, it varies from platform to platform. With Google Navigation on Android, by default it requires a data connection, but you can cache certain areas when you're on WiFi and get by without data. With Nokia Drive on Windows Phone, you can download entire states/countries and function without data.