Atomic diffusion is usually understood as a succession of random, independent displacements of an adatom over the surface's potential energy landscape. Nevertheless, an analysis of molecular dynamics simulations of self-diffusion on Cu(111) demonstrates the existence of different types of correlations in the atomic jumps at all temperatures. Thus, the atomic displacements cannot be correctly described in terms of a random walk model. This fact has a profound impact on the determination and interpretation of diffusion coefficients and activation barriers.