Ask HN: Do you have a responsibility to tell a client they are wasting money?

Doing freelance work, what responsibility do you have, if any, to let a client know they are going in the wrong direction and wasting their money?

If you are working on a project that seems to be going no-where, but is still paying you well, would you continue to work and get paid? Do you have a responsibility to give a client your honest opinion about problems with their project, even if they probably won't want to hear it?

I would guess that this situation is relatively common for people who do freelance coding, and I am interested to hear how you guys have handled it.