Directed flow measurements for Lambda hyperons are presented and compared to those for protons produced in the same Au+Au collisions (2A, 4A, and 6A GeV; b<5-6 fm). The measurements indicate that Lambda hyperons flow consistently in the same direction but with smaller magnitudes. A strong positive flow [for Lambdas] has been predicted in calculations which include the influence of the Lambda-nucleon potential. The experimental flow ratio Lambda/p is in qualitative agreement with expectations (approximately 2/3) from the quark counting rule at 2A GeV but is found to decrease with increasing beam energy.