Underground transit stations can be a huge pain in the ass to find the right exit for, when you want to come out going a particular direction, because you have no sense of cardinal directions while underground.
For this reason I've more or less given up on finding the right exit in big subway station, I just find the fastest way to ground level and go from there!
Yeah this is always my go to option. However in London at least each exit gets a number and city mapper will tell you the correct one to use. If you're going to a big landmark it will also be signposted in the station which helps. I would still rather just get above ground and figure it out then.