What happens when you put someone in a dense forest, tell them to walk for an hour in a straight line and track them with GPS? They do this (top left.)

Their walking patterns were similar those of blindfolded walkers (right) and very different from those walking in a desert (bottom.) The results suggest that a good reference point (the sun in the case of the desert) helps. And the lack of a consistent turning direction rules out the hypothesis (believe it or not) that the tendency to walk in circles is due to asymmetrical leg lengths.

Read the article from Not Exactly Rocket Science.

Addendum: I bet that if they were swimming instead of walking you would see consistent circles.