I've got a Tomtom One that does that - wants you to go up the slip road, across the roundabout and down the slip road the other side. Admittedly it only ever seemed to do it on a couple of junctions on the A1 and one junction on the M23.
Not had the pro-nav in my F30 do that to me (yet) but it did once take me along 2-3 miles of 'farm track' in North Yorkshire, so I guess these devices are only as good as the data they're given.
Talking of people who blindly follow their sat-nav, I've heard stories of people driving into rivers and such like because the device "told them to"