We're in the process of converting our Moodle instructor training course to lessons from Web pages in part to improve navigation.
In the settings for the lesson, click Yes in the Display left menu drop-down list to get a lesson menu on the left side of the screen. The menu contains links to each page and the current page is highlighted to show the user where they are in the lesson. To add other blocks in the lesson, such as an overall table of contents for the course, you have to select the following check box (or request it from your admin):
Site Administration - Appearance - Themes - Theme settings - Show blocks on module pages
As I mentioned in an earlier post, the progress bar calculates a completion percentage based on the total number of pages in the lesson. That's fine the first time through, but in subsequent sessions, it may not be an accurate representation of "how much more they have to go." If I view 8 of 10 pages today and then go back to page 1 two weeks from now, it will still say the lesson is 80% complete. For some courses, that might be the desired behavior, but not for others.
The Progress Bar block (not part of Moodle core) provides more flexibility than the built-in progress bar. With the block, you can add any combination of resources and activities from the course, not just pages in the lesson. After it's installed, you could add this block to your lessons and turn off the built-in progress bar.
Another advantage of lessons is that the lesson name appears in the breadcrumb trail, which shows the user where they are in the course. With regular Web pages, the breadcrumb trail stops at the course name.