Sometimes I wonder just how much I should let the players in on my process. I tend to make up a lot of stuff on the spot. I've run whole session's pretty much off the top of my head -- both one shots and sessions in a continuing campaign. And I have a habit of just throwing things out into the ether, without a whole lot of explanation, and defining them only when they need an explanation or if the player's come up with something interesting.
And it works. I've run some good games this way. But I've gone back and forth on whether it's a good thing for my player's to know exactly how much I'm making stuff up on the spot. On the one hand, I want them to know that they can pretty much do whatever they want. I might need a minute to think, but I can handle a new direction, if it sparks their fancy.
But then I feel like talking about "oh, yeah, that was totally on the spot" undermines the sense that the world is real, and exists regardless of their actions. That's a sense that's largely created by making it true -- for instance, if and when they get back to Zalcrat and discover that a bunch of things have gone wrong since their last visit -- but there's a certain amount of sleight of hand involved, too.
Mostly I just never feel mysterious enough, as a GM. I was into the "evil secret plans! evil laugh!" thing for a while, and while these days I'm much happier responding to (and complicating) the weird hijinks my players get up to rather than thinking up ways to screw them over, I do kind of miss the mystique of it.