1. A missed approach is an IFR procedure, regardless of visual conditions or not.
2. With that said, comply with the missed approach procedure on the chart or with ATC instructions. "Lear 85 Yankee is missed...", ATC will advise, "fly published missed" or "fly heading XXX" etc
3. I realize that we all may see a truck pull onto the runway while in VMC and tell tower that we are "going around". Technically, the FAA answer is we are going missed. (This does not HAVE to occur at mins....---> Pretend you are in the soup but simply behind the plane and need to get everything stablized, you will terminate the approach and advise ATC). ATC will tell you some instructions, then in 99% of the cases, contact Departure. If you are in the VFR pattern, and go-around, you will probably be kept on tower freq.