This is just the sort of thing suspicious viewers might take as evidence that, for more than a century, artists have been making their work in bad faith, pulling the wool over people's eyes and having a laugh at our expense. This prejudice is hard to budge, even though it is nonsense; not least because no one would go to all that trouble and invest so much of themselves in perpetrating such a gigantic and elaborate confidence trick. Unless, that is, the whole scam were itself a conceptual artwork, or a bogus new religion.

Which, however unlikely, is not entirely beyond the realms of possibility. But if contemporary art is all a fraud, why do people keep on looking? Why do I keep going back to it? When I was 10 years old, in 1963, I was taken by an enlightened schoolteacher to see a Goya exhibition at London's Royal Academy. I can still see myself standing in front of those paintings, and I can recall my companions sniggering at the naked Maja. Of course, I knew absolutely nothing about Spanish history, even less about art or human suffering. But I think I understood that there was much I didn't know, which was a lesson in itself. I knew early on that I liked standing in front of such things as Goya's art, and being there with them. Perhaps looking at art was a way of giving myself an escape route from solitude and bullying. For a long time I tried to be a painter, but other people's art sustained my imagination much more than my own. Goya is inescapably modern. No wonder so many artists return to him, to the ferocity of his vision. What was real in Goya remains so now.

It never felt difficult to go from a painter who died in 1828 to Picasso or to Beuys; in fact, I discovered, I could go anywhere at all in these well-lit rooms. Two weeks ago, I stood in the Museum Boijmans Van Beuningen in Rotterdam, surrounded not by objects but pools of water, and shimmering reflections cast on the walls, in an exhibition by Olafur Eliasson. To get to this room I had to walk past paintings by Cezanne and Pieter Brueghel the Elder, and past a disturbing empty metal cage, by Bruce Nauman, which sat in a room on its own, as if it was waiting there as a threat.

High-powered spotlights sent their beams bouncing off the water, throwing moving images of rippling waves and turbulence on to translucent screens and the museum walls. The specially sprung floorboards in the room transmitted ripples across the water's surface as one walked around. The effect, though only a matter of wave motion and the laws of reflection, was magical. It took a while to figure out how Eliasson had achieved these compelling effects, though the mechanics were plain to see. Working out the trick wasn't the point, nor was he aiming at some kind of transcendent theatrical illusion, although there are those who mistakenly see precisely this in Eliasson's work.

The point, in this installation, was more about being aware of oneself in the act of looking. It was much like the pleasure of looking at the sea, and being unable to tear oneself away until one has watched one last wave crash on to the beach. We look because we want something. You can find yourself as much as lose yourself in looking, in very different kinds of confrontations. This can as easily happen in front of a painting, in an installation, among a group of sculptures or in darkened rooms, surrounded by projected images. The totality of an exhibition matters as much as individual works, as so do all the smaller things that add up to being there at all - a particular day, a journey, one's state of mind.

Some things provoke you and go on provoking. Every time you return to them they are different, because you have changed and so has the world. Sometimes one arrives too early or too late, and things fail to make any purchase on the imagination. Sometimes one falls for the wrong things, infatuated. There are so many new artists making so much art in so many different ways now, that no one can possibly make sense of it all. Because there is more art being made, there is ever more mediocrity. You must go with your instincts and keep an open mind, but not so open that your brains fall out.

Art changes along with the world, for better or worse. Some artists' work is so caught up in a particular moment, so bounded by gossip, by articles and rumours and reputation, that it becomes almost impossible to look at it freshly. Opinion drifts into consensus and the orthodox official line, the lines of explanatory text on the museum wall. The artist gets caught up in all this too, and might spend all their energy trying to escape. This has happened with Damien Hirst.

Perhaps one of the best artists at dealing with this impasse has been Bruce Nauman. Working between sculpture, performance, film and sound, neon works and drawings, he has made both one of the most varied and consistent bodies of work since the 1960s, while remaining somewhat aloof from the tides of fashion. Everyone else is left trying to catch up, as many students, leafing through the Nauman back catalogue, soon discover. But how many artists are conscious of their own range, the richness of what they do? Mostly, Nauman reacts to the difficulty of not knowing what to do next, and working through the condition of creative emptiness. Looking at his new work can make you think of things he did more than 20 or 30 years ago, and throw them in a new light. Lesser artists, meanwhile, just repeat themselves. Nauman's kind of digging-in is more than persistence or doggedness.

This kind of cumulative richness can only be achieved over a lifetime. It is worth remembering that Louise Bourgeois had little recognition till she was in her 60s, yet one can travel backwards and forwards throughout her work and see how single-minded her purpose has been, how the same terrors and obsessions recur, however different the forms. There is something about her touch, as well as her point of view and personality, that is indelible. When it comes to newer art, and shorter careers, one can never be certain what will last.

One can also drift away from an artist, or begin by hating or dismissing them and only slowly coming round to what they do. This is why it is important not to become a critical fundamentalist. I never cared for the video work of Anri Sala until I saw a large show of his work in the Couvent des Cordeliers in Paris last year. This seemed to me to be a tremendous ensemble, through which one walked in a crepuscular grey light. As well as the overall atmosphere, one work in particular has stayed with me, a film of an abandoned horse, startled by the passing traffic as it stands on the side of the road on the edge of Tirana. The backdrop of tower blocks, the passing traffic, the periods of darkness and near silence, the horse's patience and vulnerability - all somehow mingle with the gloom of the space where the work was projected, the muffled sounds of other works leaking in. It was painful to watch, an extended moment of apprehensiveness, shot through with the bright lights and rumble of the traffic. Some things haunt you, even though they leave you winded, and somehow questions about what they might mean don't count. I have no idea if Sala's work will continue to impress me, or where it will lead. This in itself is reason enough to keep looking.