I have mixed feelings. Personally I would like a clue about the quest I'm doing, especially if there's a risk I may permanently stall the quest in the meantime (similarly, I remember somebody describing Unix as having a bit of a "you asked for it, you got it" attitude: although it's my preferred user environment, it's frequently very annoying) but I don't want excessive amounts of "follow the cheese" either. I hasten to add that, for once, that's a legit use of "cheese", as the pointer in Oblivion's compass was often referred to as a cheese wedge.

The whole hand-holding argument is an issue in itself though, and a bit of a balancing act between people who arguably want too much direction and those who are unable to stop themselves if apparently unwanted assistance is provided.

J'aime le fromage.