That depends who you were, where you were from, and how exactly you came to become exiled. Often in antiquity "exile" was not actually a judicial punishment but a self-imposed flight--the Greek φυγή literally mean "flight." At Rome in particular exile was more often self-imposed than not, at least during the Republic. Originally Roman law did not have a provision for passing a sentence of exile, and exiles were generally those who fled during court proceedings before sentence could be passed. Thus we see Milo fleeing to Massilia before he could be pronounced guilty of the murder of Publius Clodius, for example. During Sulla's proscriptions the proscribed lost their citizenship rights and rights to property and were declared outlaws--remaining in Italy would allow you to be killed by anyone. Even voluntary exiles, though, ran a great risk if they attempted to return. By law the magistrates were required to grant a period of time between sentence and execution of sentence for a condemned man to flee Italy--if he did so he gave up the legal rights of citizenship and was not to be given fire or water by the inhabitants of Italy, although of course the provinces were fine. Of course an exile who had been denied these rights could be legally killed if he entered Italy again. It's worth noting that the people who would be getting exiled would be recognizable by a good chunk of the population, especially in a fairly small town like Athens, where most of the citizens knew one another personally--people like Shitbird McUnimportant by and large weren't getting exiled, and few had any good reason to risk returning. Someone like Cicero, who was illegally exiled by a private law of Clodius' providing that anyone who had killed Roman citizens without trial (the Catilinarians) should be exiled, might have reason to, but for a victim of the proscriptions or a man condemned in court who wasn't a magistrate? Besides, exile was something of a face-saving move, sort of like suicide during the proscriptions--Caesar, according to Sallust, argued that the Catilinarians should be allowed the option of going into exile, and that to refuse them that most basic decency was a tyrannical and criminal act. If one went into voluntary exile it was rarely with the intention of coming back, although it did occasionally happen (the surviving victims of the proscriptions returned to Italy after Sulla's death, and Marius returned from his exile in Carthage, although he's a bit of a special case...). Besides, it was bloody hard to return to Italy, since you lost your citizen rights (and if anyone recognized you that was it) and the property of voluntary exiles was confiscated. During the Principate more formal forms of exile were introduced. The milder relegatio appears to have already been in use in the late Republic, and could be declared by any magistrate or as punishment in court. Relegatio might take a number of forms, but together with the deportatio introduced under Tiberius it forms the major form of exile under the Principate, where we see voluntary exile much less often. While voluntary exiles simply skedaddled out of Italy, hanging out in the provinces (Milo stayed in Massilia and Cicero in Thessalonica), exiles officially sentenced during the Principate were generally sent to little islands like Pandateria, where Julia was originally exiled before being moved to Rhegium, or to far-flung regions of Roman influence, like Ovid's exile to Tomis on the Black Sea. Voluntary exiles still existed, though--Tiberius went into voluntary exile at Rhodes after pissing Augustus off, and Scribonia joined Julia voluntarily at Pandateria--but exile on little islands or regions barely connected to the rest of the Roman world was pretty effective at keeping people put