Hi Warren, it sounds like you've got it figured out, that you can push the "Set Dir" button in Extrude to make the extrusion go in any one particular direction that you want instead of just the default direction.

> If I subtract a cylinder from a cube and select the rounded face it creates, is there a
> way to extrude that face along it's normal or does it HAVE to be axis locked

The issue here is that a curved surface like a cylinder does not only have a single normal direction, it has surface normals going in different directions all across the curved surface.

In that kind of a case the extrusion will default to a world axis direction, it tries to find a "best fit" plane through the non-planar surface and then uses that best fit plane's normal for the default direction.

If you want a type of result where the new surface is created along each separate surface normal instead of going in one single direction like Extrude does, there is a separate command under Construct > Offset > Shell that will do that kind of construction, check out here for some illustration of the differences between Extrude and Shell:
http://moi3d.com/forum/index.php?webtag=MOI&msg=4791.13

- Michael