It depends on a few things.
It's all about momentum, if the car will pull hard in either gear, leave it in the higher gear. If the corner is downhill you can get away with staying in the higher gear more often than if it were an uphill corner. If its a track/car you'll be spending a bit of time on it pays to memorise the top speeds in each gear and how fast you can get around corners when you have a good line. Bogging down an engine that doesn't have the torque to get back up to speed quickly will murder your lap times, sometimes its better to drop a gear to keep the momentum.
Sometimes if you are on a killer line you will be able to leave it in a higher gear but if you are on the wrong side of the track you'll have to brake harder anyway so you'll be better off in the lower gear to get back up to speed. This means you have to consider your position on the track, what cars are around you, how much of the race is left (is it worth throwing the car into the corner and taking a bit of a risk). You often have to make these split second decisions when you are racing up to a corner and are about to cook it. That moment before the corner is the exact reason I love Gran Turismo and i'm glad they haven't f'cked that up somehow.
Also, if you are about to enter a corner way too fast, dropping to the lower gear will help you slow down (unless you've really cooked it). You'd have to slow down anyway, if you leave it in third and do manage to pull up with the brakes alone you'll still be going to slow so are better off in second anyway.
EDIT: Also, sometimes you may be in a situation where dropping back a gear means you have to be a little more careful with the accelerator or you'll spin the tyres and lose momentum. In that situation its sometimes better to leave in in the higher gear and not have to worry about that (if you are in traffic or its a nasty corner etc...). Same deal with shifting up early in the lower gears of some powerful cars. Technically it'd be quicker to go to 80% throttle etc... and change at the redline but its easier just to shift up early (unless you are chasing the last few 1/1000's for a gold licence). I've got a few cars that when starting from the grid, I rev the crap out of them and launch in 2nd gear because its faster than smoking the tyres while everyone else takes off.