I always play on the kingside, but I recently heard from Expert class that White plays on the queenside. I also seen another Expert class play on the queenside. If this is true, then why does White play on the queenside? Also, when does White play on the Kingside?
In most variations of the Ruy Lopez, White, with the Bishop on b3, has better chances playing on the kingside. In the Marshall gambit, White counterattacks on the Queenside. In the Exchange variation, White normally has better chances in the kingside in the endgame.
Fischer-Spassky Ninth Match Game Sveti Stefan 1992
[fen ""] 1. e4 e5 2. Nf3 Nc6 3. Bb5 a6 4. Bxc6 dxc6 5. O-O f6 6. d4 exd4 7. Nd4 c5 8. Nb3 Qd1 9. Rd1 Bg4 10. f3 Be6 11. Nc3 Bd6 12. Be3 b6 13. a4 O-O-O 14. a5 Kb7 15. e5 Be7 16. Rd8 Bd8 17. Ne4 Kc6 18. axb6 cxb6 19. Nbc5 Bc8 20. Na6 fxe5 21. Nb4
In this famous game, White did attack on the queenside. The reason for the exception is the placement of the King. Opposite side castling throws most chess rules out the window and the only thing that matters is an attack.
You can play wherever you want to. The kingisde seems obviously like a better option. Why? Because normally in the main line Black has already gained space with a6 and b5, meaning that it will be easier for him to manouever his pieces on the queenside. As for you, you may want to go h3 g4 and Nf5 if possible, as Fischer did in a game against Wolfgang Unzicker which I think is covered in his book. Also, black can get a passed pawn from his attack, but if you get the king, it is game over.
Note: The latter manouver involving h3 and g4 is only good when the center is closed, if it is open I wouldnt suggest to attempt at your king's life like that.