I'm going to the cinema.
She drives to work.
They are coming to my party.
We walk to the shops.
The exceptions are when somebody goes to his or her home.
I'm going home (but I'm going to John's home).
They are driving home now.
Another exception is the verb to arrive.
We say arrive in when we talk about a village, city, country or continent.
We say arrive at when we talk about a building or place.
He arrived at the airport too late.
They arrived at work just in time.
Note that when someone arrives at his/ her home, as with go, there is no preposition.
He arrived home late.
I arrive home late on Mondays.
Take a look at these related pages
English Grammar Reference: ...