Amos
Since a clearance for an approach also is a clearance for a missed approach, then I would continue according to the last clearance received. That is, I would go around because it is what I am cleared to do, it is what ATC are expecting and is usually the safest option.
All of this is predicated upon the assumption that there is no safety reason for me to land, such as a slower aircraft ahead which might make landing safer than going around. A good example where landing might be safer would be Desert Dingo's example.
So, my answer is a very, very firm and definite "YES and NO."