GUI users employ menus, trees, lists, dialogs, and wizards, and receive near instant response time. Navigation mechanisms are standardized by UI toolkits and style guides. They are supplementary to the information in the client area. Navigation is a weakly-established concept in GUI applications -- function/action dominates, and navigation is sometimes a side effect. Some push buttons cause navigation, others don't. For example, the OK, Cancel, and Help buttons shift the user's focus to a different window while Apply does not. The ellipsis on "routing" menu choices, like "Save as..." conveys a fairly strong sense of navigation. Wizards also create a strong sense of navigation forward and backward in a basically straight-line sequence of dialogs.
For Web users, navigation is a significant and highly visible concept. Web users employ links and bookmarks, and they type URLs. Latency is very significant. Only a few standards are well established, such as the Back button. Navigation mechanisms are more typically an inherent part of the page design, therefore there tends to be quite a bit of variation, or lack of consistency. This is one of the most confusing aspects for users.
The notion of place, or establishing a context so that users know where they are and where they can go is extremely important on the Web. Designers can employ two basic paradigms -- go to and bring to me. In the "go to" paradigm users consciously choose to go elsewhere, and are aware when they take such a link. The context changes distinctly and users are not surprised. In the "bring to me" paradigm, users essentially ask that information be "brought to them" within the context of the current page. This paradigm preserves context, stability, and a sense of place. Each paradigm is appropriate to specific situations, but that's another article.