I know I do it just for fun.

From The Scientific American:

Yes, people really do walk in circles—but only when stripped of important visual clues, such as the sun or moon, according to a paper published online today in Current Biology.

To test the common wisdom, Jan Souman, a research scientist at the Max Planck Institute for Biological Cybernetics, and his team sent test subjects out into a German forest and the Sahara Desert to see if they could follow directions to walk in a straight line—some on sunny days others on cloudy days or at night. Subjects were monitored via GPS over the course of hours (and followed by an experimenter for safety).

Those traipsing about in the sun seemed to have little trouble keeping a relatively straight course. But once the sun (or night moon) disappeared, volunteers seemed to get hopelessly lost and meandered about aimlessly—even though they believed themselves to be keeping a steady bearing. Those in the forest turned several circles, often recrossing their own path unknowingly.