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I have a menu system with multiple pages. The start menu has an option to get everywhere. Should the places it goes only return to the start menu, or should they be able to go everywhere as well?

So two options:

Menu A
--->Menu B
--->Menu C
--->Menu D

Menu B
--->Menu A

Menu C
--->Menu A

Menu D
--->Menu A

Or:

Menu A
--->Menu B
--->Menu C
--->Menu D

Menu B
--->Menu A
--->Menu C
--->Menu D

Menu C
--->Menu A
--->Menu B
--->Menu D

Menu D
--->Menu A
--->Menu B
--->Menu C

I can see the first one being easier to use for beginners, but I can see the second one being more flexible. But maybe that is off-base.

Which of the two options should I use, and why? Or is there a third option?

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I think a good menu or navigation system serves principally 2 functions, It tells you where you are, and tells you what is possible, or where you can go, using sub menus as in your case avoids the clutter, but hides maybe valuable information, additionally, there is a difference in between a static map that shows you where you are in relationship to the whole map, and one that changes based on your location and gives you a different map based on your location, these are a few things to consider,there are tradeoffs and already established conventions as well.

For instance, is it an option menu ( select this option ) or a navigational menu (go to this place) ? , if the answer is the later,a conventional way of displaying this navigational map is something like this:

--->Home Page
      Page A
      Page B
      Page C

   Home Page
  --->Page A
      Page B
      Page C

    Home Page
      Page A
  --->Page B
      Page C

    Home Page
      Page A
      Page B
  --->Page C

    Home Page
      Page A
      Page B
      Page C
   --->SubPage C1
       SubPage C2

If what you are after is and option menu with sub pages, it would look like so:

  Home Screen
     Color Controls 
     Channel Controls
     Volume Controls
     --->Bass
         Treble
         High

So the answer is it depends on what information you are displaying and the purpose of your menus,how much information you want to provide and you think is relevant to your users.

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Without understanding the context I will try to make a general thought.

It is probably a better idea being able to access every place from any of those pages. If not every place at least the highest hierarchy element.

In you first example, If I am in B and I want to go to C I need to make an extra step passing though A.

B -> A -> C

In the second example I can simply access C from B.

B -> C

If we take this site as an example, the menu displays the different places one can go:

Questions | Tags | Users | Badges | Unanswered

Being in any of those categories we can access all of them. These option exists for the high hierarchy element. However if I want to access 'usability' tag under Tags I "need" to access Tags category in the first place.

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