ergophobe - 5:02 pm on Jun 30, 2010 (gmt 0)
I've seen it both ways. I usually find it aggravating to be taken back to the beginning (that's the way some stock photo sites I use work). I've also on occasion seen the abomination implementation: I'm on page 3 and it takes me to page 3, so I was looking at 21-30, and now I'm looking at 201-300.
This is not an expert opinion based on testing or anything like that, just my preference: I would like the page I am currently view to be included in the new result set, by preference as the beginning of that set. That helps me stay oriented and see where I am in relation to where I was.