Usually I’ll come up with some enemies, some antagonists, some potential allies, and some color characters. I’ll give the important NPCs goals, figure out where those goals will go absent PC intervention, throw a couple clues at the PCs, usually coupled with compels, and then go. If I can get away with it I’ll come up with the final set piece ahead of time, that’s usually easier if the set piece involves some sort of big ritual that is specific to time and place.
I also did a lot of city creation, so I’m rarely caught without an interesting venue for a conflict. Depending on your definition of “winging it” I may not do so at all, but I rarely have a predetermined plot line that the PCs are expected to follow.
My primary thought processes are “how can I screw up their characters?” Not in an “open season on PCs” way, but in a “how can their lives become more complicated” way. Thus far I’ve forced the White Court Vampire to confront the monstrosity of her own actions, had the Knight of the Cross question his calling to the point where he hasn’t even drawn his sword for three sessions, and had the poor Wizard end up looking at some truly powerful Outsider magic with his sight. I was particularly proud of that last one. Oh, and my other big concern is “how in the hell do I motivate both the Knight and the Succubus to be interested in this? My player decided she wanted to be Lara Raith’s illegitimate daughter, so in a pinch I can use “Lara’s Inscrutable Plans,” but I don’t like to lean too heavily on it.