I start with a premise. I'll use the example Scott used:
Red is walking to her grandmother's.
At this point, I actually try very hard NOT to think about how I want the story to end. For me, knowing where I want the story to go makes me suddenly manipulate my characters in unnatural ways. If I decide I want Red to end up with a woodsman, I'll suddenly have her stumble upon the National Woodsmen Convention, where she's ushered into the main hall and forced to listen to some boring lecture by her soon-to-be lover. For me, that won't work.
Instead, I look at what I have started with, and try to carefully take the next step forward. Who is Red? Why is she walking to her grandmother's? These are clues for how the story should move forward. I inch my way forward, collecting data, not knowing where it will go. I try to take logical and interesting steps based on what I have before.
Red is walking to her grandmother's. She gets there and knocks on the door, and her hairy, long-fanged grandmother invites her in.
If I were writing this story, the woodsman probably wouldn't occur to me until very near the end, if at all.
I actually think of this approach as sort of setting up some game pieces that will eventually control themselves based on the rules of the game. What I can manipulate is the beginning, and what I try not to manipulate is the end. So, I guess for me, it's that middle section that is the most important and the most fun. I'm past the hard work of set up, and now I just get to sit back and watch. (The scene where Red is asking the wolf all of her questions is the most memorable scene for me.)
Along with this, I've found that when I love a book, I don't want it to end. And, the way I interpreted that was that the ending shouldn't be the best part. For me, this approach was the most true to my own life experiences. Living in the present always felt like being in the middle of the book, and it was always this middle that felt the most important.
As a result of this approach, I think my stories usually have vague or open endings. Again, for me, this is acceptable because it feels true to life--not that all stories must be true to life. I hope that it's the middle of the stories that people enjoy.
So, there you have it. The panster's approach.
Do you all think it matters how a writer approaches their story? What other effects can approach have on the final product?