You can do it from the Map module, by saying Map > Tracklog > Load Tracklog.... It's somewhat awkward because the map takes over most of your screen, forcing you to use the Filmstrip to select the photos the tracklog will get applied to.
I've been using Jeffrey Friedl's Geoencoding Support plugin since Lightroom 2, and upgraded for Lightroom 4 because the built-in features simply don't replace it.
This plugin can do a lot of things:
Photo geoencoding, and not just from a GPX tracklog.
The basic usage process, after you've installed the plugin, is to select the photos you want to modify in the Grid view — much better than the Filmstrip for this — run the plugin with File > Plug-in Extras > Geoencode..., tell the plugin where to get the geodata, and go.
The geodata can come from:
any tracklog format supported by GPSBabel
a hand-entered lat/long pair
a pair of lat/long points with the plugin assuming a constant speed and direction between them when tagging the photos
a street address via reverse geoencoding
and probably more I'm overlooking today, with a good promise of more to come, given the history of the plugin
Open Google Earth, Google Maps, Yahoo Maps, Bing Maps, OpenStreetMap, etc. with your photo's location as the center point of the map.
While it's great to have a live map built right into Lightroom now, there are features in these other mapping programs not available to Lightroom. Even if you're just going to Google Maps on the web — which appears to be what's built into Lightroom — you can do several things on Google's site that you can't from within Lightroom, like get driving directions.
Open photo web sites like Flickr and Panoramio with the selected photo's location as a search term, so you can see other photos taken at that site.
All that having been said, I don't think the built-in Lightroom geoencoding features are useless. Rather, it's that I view Jeffrey's plugin as my default way to pipe data in and out of Lightroom; most of the time, it does things better.
Still, there are a few things I do within Lightroom, natively.
Given that you have a lot of photos geotagged, I prefer selecting them in the Grid module, then switching straight into the Map module to see where I've been. You can do this with the Friedl plugin, but it means launching an external program (Google Earth) or web site.
The built-in Map module is also better for tagging photos where you don't have tracklog data. I've set up several presets for places I often take photos, like my home and that of my close relatives. The Friedl plugin can do this, too, but again it requires the assistance of an outside program.