In English one may ask "where are you headed?" instead of "where are you going?" The parallel Hebrew idiom is, "where is your face set?" (לאן פניך מועדות)
"Where are you headed?" suggests consciousness (vector-like consciousness; the "head" in the idiom is like the head of an arrow), that you have in mind the objective of where you're going. It may well imply that you're going towards a conscious goal, to achieve a specific purpose in life. You're "headed" towards an "end," ultimately towards "the depth of the end," understanding (rectified consciousness), the World to Come.
In the Bible, the idiom "to where your face is set" appears only once. The king of Babylon speaks to his sword (in sorcery), "Go one way, either right [towards Jerusalem] or left [towards Rabat Amon], to where your face is set" ("הִתְאַחֲדִי הֵימִנִי הָשִׂימִי הַשְׂמִילִי אָנָה פָּנַיִךְ מֻעָדוֹת").
From this evil context we can learn for the good. We have to choose one way in life and follow that way, the way that takes us to the destination to which we are headed. The verse begins with the root "one" in the reflexive form – "become one" (התאחדי). To choose one way in life is to fully identify with that way, to become one with that way. We, the Jewish people, are called "one people on earth." We were sent here by God to bring the consciousness of true and absolute oneness to all mankind. We do so by becoming one with our way, the way of the Torah.
The unconscious inclination of the Divine soul is towards the right, to choose (to prefer, all other conscious factors being equal) to go right (and to do right; in English right is right, going right is making the right choice, doing the right thing – if you were on the wrong path in life then going right is repairing your ways, doing teshuvah).
To go right is to head (set your face; in Hebrew, "face" means "inner intention") towards Jerusalem, the city of peace, the true destination of every Jew and of all mankind.
The king of Babylon (who in the end went right, but for the wrong purpose, from which we may infer that there are absolutely wrong "rightists") was out, with his pointed sword, to destroy Jerusalem. Our destination is to rebuild Jerusalem and the Holy Temple at its center, to reach our goal, which is also God's goal – "My house shall be the house of prayer for all nations."