Overlord does not have an in-game map. It should. Sometimes peasants give directions by telling you a place is "to the east." This would help, except there is no in-game compass, either. There is a fold-out map that comes with the game, but it's a sort of generalized map that doesn't show the details of the twisting mazes you'll be facing. It's not very helpful to know where things are in relation to each other when you can't even tell where you are or which way you're facing.
It was always embarrassing to go charging into a new town and let my minions run wild through the village. "Ah! A new realm to conquer!", I thought. "Oh wait. No. I was just here. Fiddlesticks. I've gone in a circle again." This detracted from the atmosphere of malevolent badassery the game was attempting to cultivate. I understand that my avatar's moral compass is broken, but would it have killed the designers to give me a regular one?
Shamus Young is a programmer and writer by trade, videogame nitpicker by inclination. If you have the patience for more of his ramblings, they can be found at ShamusYoung.com.