I like games where getting lost is part of the charm. Skyrim is one example; don't get me wrong, I don't like the game and was the first one preaching that it wasn't good even a year before release, but the exploration is great for a walking simulator. Sadly there isn't anything to do, but I enjoyed wandering around for an hour with no objective hoping that I might stumble onto something interesting. It was fun. =)
On the contrary, games with endless exploration that isn't fun are MMORPGs, and Eastern ones in particular. The quest trackers are awful, the maps are awful, the UI is awful (true of I think 100% of Korean MMOs) and it's so easy to get lost, and since walking takes so long with zero discovery or exploration to do, it's just dull. Combat is usually 99% stats-based, so if you stumble into an area too high level, you just die. It's like a multi-choice question between 'Die, Die, Live, Die', but each pick takes about fifteen minutes of running. Urgh to guideless MMOs.