Does the Sun Always Set Exactly in the West?

The sun rises in the east and sets in the west only at the equinoxes and only at the equator. Due to Earth's 23.5° axial tilt and elliptical orbit, the sunrise and sunset points shift throughout the year.

In the Northern Hemisphere, the sun rises north of east and sets north of west in summer (reaching its northernmost points at the June solstice), and south of east/west in winter. The opposite occurs in the Southern Hemisphere. Near the poles, the sun may not set at all in summer or rise in winter.

So "the sun sets in the west" is a useful generalization, but the exact azimuth depends on latitude and date.