||We study the dependence of the transport properties of square Josephson Junctions arrays with the direction of the applied dc current, both experimentally and numerically. We present computational simulations of current-voltage curves at finite temperatures for a single vortex in an array of $L\times L$ junctions ($Ha^2/?_0=f=1/L^2$), and experimental measurements in $100\times1000$ arrays under a low magnetic field corresponding to $f\approx0.02$. We find that the transverse voltage vanishes only in the directions of maximum symmetry of the square lattice: the  and  direction (parallel bias) and the  direction (diagonal bias). For orientations different than the symmetry directions, we find a finite transverse voltage which depends strongly on the angle φ of the current. We find that vortex motion is pinned in the  direction ($?=0$), meaning that the voltage response is insensitive to small changes in the orientation of the current near $?=0$. We call this phenomenon orientational pinning. This leads to a finite transverse critical current for a bias at $?=0$ and to a transverse voltage for a bias at $?\not=0$. On the other hand, for diagonal bias in the  direction the behavior is highly unstable against small variations of φ, leading to a rapid change from zero transverse voltage to a large transverse voltage within a few degrees. This last behavior is in good agreement with our measurements in arrays with a quasi-diagonal current drive.