GPS signals are pretty weak and can't penetrate buildings or the ground. It needs a view of the sky to function, so they won't work in a tunnel or inside a parking garage. Just keep up with the other traffic and there shouldn't be any trouble.
It also needs line-of-sight to at least 3 satellites. So when the sky is partially obscured, like going under a bridge or driving downtown in a big city, it would depend on how many satellites the receiver can "see" at any moment.