An answer that works well is: "It depends on the situation and the personality of the supervisor." To elaborate, give examples:

My present supervisor does not like to have his authority questioned. He's fairly new on the job and almost all of the people he supervises have been on the job longer than he has.

He's never bothered to learn the procedures, how things are done or how the computer system works. But if any of us tell him that how he wants something done won't work, he gets extremely angry. So, I never tell him he's wrong. Never. Whatever he tells me to do, I smile and say "okay." Then if I know a way to get it done that will work, I do it that way, give him the results he wants and never tell him I didn't do it the way he told me to. He got the results and is happy. I saved myself the stress of being yelled at and gave him what he wanted, so I'm happy.

My prior supervisor was more easy-going and if I told her "You know, I think it might work better if I do what you asked in such and such a way," she would say "Okay, try it."