History has proved us that bands/artists should always do whatever feels the most natural, they should follow their ideas, as crazy as they sound at first. Because that's the definition of innovation : doing something that nobody has done before, or at least, not in the same way.
But what if the direction you know you're supposed to go doesn't appeal to the public? After all, the fans are the ones that matter. You gotta earn your living somehow.
Take The Kinks for example. Until 1975 they did absolutely what felt the most natural. Mainly, what Ray Davies wanted the band to do. Some say he took it too far with the theatre stuff, but that didn't matter. Their reputation was already ruined, surprisingly, by their BEST efforts. Both 'Village Green Preservation Society' or 'Athur' were arguably their two best albums, yet they sold very little. Of course, being banned from U.S.A, where the big things happened at the time, played a big role. From 1977 on they gave up and started to "give the people what they want" (that's one of their albums' name) and in the late 70's and 80's they became "just another rock band" without importance or historical relevance.
The Beach Boys are another great example. Around '69 their success was incredibly low. Yet, this came after the band released 'Smiley Smile', 'Wild Honey', 'Friends' and '20/20' ! Arguably the band's best post 'Pet Sounds' efforts. Mike Love came later with the idea of them playing their old hits. But even a blind man could see that his solution was an embarrassment both for them (30 year olds singing songs they wrote in their early 20's) and for the (few) fans that took their music seriously.
On the other hand, bands like The Beatles, Pink Floyd or The Who never really cared about trends. They always did what they knew, and instead, they actually created the trends.
So what's the answer really? Should bands give the people what they want or should they trust their own ideas and do what feels the most natural at the time? Or maybe find a balance between those two?