I would suggest checking the following thread:
GPS Settings: Performance Options (improvement) - xda-developers
That said, I have mine set to:
0) Phone Settings > Location and Security > Disable use wireless networks
1) Under LBSTestMode (see post above to access) > Application Settings > Operation Mode > Standalone
2) Under SUPL/CP Settings > Server FQDN Type > AUTO Config (fills out all the rest of the junk)
3) then Delete GPS Data (1 time) - this clears out junk which will have the phone looking in the wrong place for satellites
4) ... .and reboot.
5) You can experiment with turning use wireless networks on and off - it's not actually using the GPS, but will often get a within 2km fix quickly, alllowing things like maps and nav to at least begin working, albeit not very accurately to start with.
... and these settings work well for me (first satellite within 10 seconds, and lock usually within 20 to 30 seconds). Note though that I'm using a leaked Froyo build (Cognition).
Check GPS performance with a neat app called GPS Test by I think by a company called Charcross.
Hope this helps,
AoN