Depends on the game.

In Metro series, for example, whenever the game (usually via NPC) tells you "Come this way!", the correct play is to turn 180 degrees, go around the corner and usually find a huge supply cache, new weapons, etc. The game was absolutely hilarious in this regard. By the end of Metro Last Light (second game in the series) it basically became automatic, whenever the game leads me left, I always go right.