Mesh | Extrude

This tool extrudes selected polygons.

To extrude polygons in the viewport, drag along normal of polygon. The extrusion also may take place along the average normal of selcted polygons.

Before extrusion	After extrusion

There is an option in Tool Inspector Panel on how to handle side faces:

No - if side faces already exist, they will be extended along direction of drag. If not, they wan't be created.
Always - side faces always will be created.
Auto - if side faces already exist and they aligned with direction of drag, faces will be extended along that direction. If opposite case side faces will be created.

This option is mostly helpful if you want to extrude same faces for the second or more time.

Initial object	Auto	Always

	Side faces are extended	New side faces are creted and may be extruded in different direction.