I always thought getting lost and finding your way eventually was one the best elements in RPGs.
I do too, unless you can get really lost. This is why I like old Dragon Quest games and the first Phantasy Star and the Ultima series. You can get a bit lost but there are sort of recognizable landmarks and things to guide you along. Whereas in something like Daggerfall, there's kind of nothing.
Basically i think the goal should be to LURE the player in the right direction but still maintain a sense of tension and dread that they're not heading the right way, even though they are.