Andrew, I wonder if sometimes they are hoping you've brought something for them
Jessi, I liken Misha to small child who follows you around the house asking "What are you doing? What's that for? Can I see?" Jack Russells must have a lot of curiosity in them.
One of the funniest things is when I'm on the floor looking through something. She will come up behind me, jump up with her front paws on my back, and look over my side. Of course, she could go around to see, but she prefers it this way.
Sandooch, I am not sure all dogs are this way. My Lab was happy to leave the room a lot of times when I entered it. LOL Though, she did know when I brought home dog stuff.