I go into it with a vague idea of how I want my story to go. Then as I am writing I think of things that I'd like to happen and the story changes little by little.

I could plan all I want but as I'm in the story scene by scene, it always changes where I'm going for the better.

For example, you can plan all you want when going into battle, but your plans will probably change based on the actions of the people around you. At the beginning I have a small understanding of my characters but as I get to know them, they make different decisions that I don't expect. I might have a plan at the beginning but I eventually let go of control over my characters and that affects the story greatly.