Had a memorable incident back in the 90's:
I was working on my PPL, and was flying with my instructor one day. I was based in KOWD, and we decided to fly the VFR corridor down the Hudson River in New York.
We started by flying direct KOWD, KHPN where we picked up Flight Following and proceeded down the Hudson, cleared at 1500'msl. Great ride, great scenery. Our intentions were to circle the Statue of Liberty, and then break it off, and fly direct back to KOWD, but for some reason we broke it off early. I called Approach, and was given a heading back to KOWD. This is where it got interesting.
I acknowledged the heading, read it back, and proceeded as directed. Flying along things didn't seem right to me because we were getting very close to landing traffic at KLGA (LaGuardia). I asked my CFI if he thought we were OK and he assured me that we were on our assigned heading and we both agreed as to what we heard the controller give us for a heading ; not to worry.
I was beyond worrying and would describe it more as a mild panic. I told my CFI I was going to verify with the approach controller, and as I placed my finger on the transmit button, I heard a VERY PANICKED approach controller screaming at me, questioning what I was doing, followed by "TURN LEFT IMMEDIATELY TO HEADING XYZ". Once turned I told him it didn't look right to me either and I was in the process of calling him to verify as he was calling me. This was followed by a minute of silence, and then I was handed off to another controller who was not happy at all. She assigned me another heading and directed me to maintain present altitude followed by "DO NOT DEVIATE"
As we flew the new heading, we realized it took us right over Central Park at 1500'agl. This was great! Turned out to be the best sightseeing tour I ever had to this day. Once we were cleared and out of the way, she cut us loose. Not happy at all.
I never heard anything about that, but I'm sure the tape was played back which cleared us of any deviations.