You like reading stories Archon? Here ya go.
I choose a mixture of both types of things.. When I DM, I find I'm not very good at directing players to where they might go.. and players are always expecting some direction, so I find it better if I say "We are doing the Tower of Gygax tonight, and I describe it to them, and get them excited to explore it." Then I let them explore it.. Then at the end of the adventure, I leave clues that will lead into the next adventure.
For instance, I once ran a game, where a city was being hounded by kobolds. When going to the kobold village, the players defeated a massive swarm of kobolds including their leader, a Goblin named Muckberry. In Muckberry's possession was a letter in strange cursive writing, with the emblem of a white foot at the bottom. Also, in the Kobold camp, the Kobolds had summoned a small fire elemental and that was another "boss" encounter in the adventure. Before dying, the Fire Elemental cursed the party and told them that some great elemental force was coming, specifically for them, for defeating the fire elemental.
The next adventure involved a small goblin force attacking their safe-zone village. By that time, the players had encountered a lot of interesting denizens of the village, and this goblin attack struck home as several of the NPCs died. While this attack happened, there was a mighty bell tolling at the small wizard tower in the village (basically the place where they sold their excess magical goods, and had items identified).. Elementals had broken free of the safety measures in the tower, and the players were presented with a choice; allow more NPCs to die during the Goblin attack, or help the mages.
They ultimately decided to help the mages and had to fight elementals of every kind, along with levelled down mephits (my favorite RPG monsters). My best elemental was the earth one that was in the top floor. I loved this encounter, because the room was basically a square patch of dirt, and the elemental could move through the dirt, without disturbing it.. it was like a fish moving in and out of the water without actually disturbing the surface.. It's really hard to explain in writing, but it was really effective..
Upon saving the mages, the mages and the PCs went into the village to find a large number of their NPC friends dead, and white foot prints ALL over the place. The mages told the players about a particular mage that had gone missing during the hubbub, and that they should try and find him, because he was the mage tower's elemental warden. The players can't find him immediately, but decide to track down the goblins that had murdered their friends. The find a cave, with a bunch of goblins in it, and a few stray elementals, still cursing the players. At the end of a long winding cave dungeon, the players find the lost elemental warden, and it turns out he was behind the elementals breaking free (Surprise!!).
A battle ensues, and despite the help of more elementals (including a particularly annoying air elemental that would constantly attempt to disrupt spellcasting by "consuming" a character in a torrent of wind), the warden was defeated.. Defeated, out of spells, and injured, the warden tells them of a mighty creature called Thunderfoot that has been rallying an army.. He doesn't say too much before a giant quake shakes the cavern, and a huge stalactite drops on the warden, killing him. The players exit the cave through an opening near where the battle took place (which was covered by an earth elemental during the fight), and encounter a GIGANTIC hill giant, who, upon seeing the players, begins kicking at the cave. The players escape back into the cave as the exit is sealed by debris. They hear the hill giant bellowing "THUNDERFOOT GONNA GET YOU LITTLE ONES!! MWAR HA HWAR!"
As you can see, it's episodic, but also directed. The players want direction. They want to feel like they're doing something, and crafting the story, but they want to be directed as well. My players have always been pretty good about following my cues when I've made them clear enough to the players. An example of where this direction can fail, and lead to emergent story (which, was actually one of my most memorable games, although it was short) is a game a friend of mine ran.
We were marooned on an island with a group of refugees that had escaped from a lizardfolk encampment. We spent several sessions killing lizardfolk, collecting their weapons, trying to marshall the refugees into helping us take down the lizardfolk. The refugees, instead, after refusing to help us out of cowardice, basically implied that they wanted us to rescue them.
So, doing what any good hearted group would do in this situation, we joined the Lizardfolk (and they're Ogre leadeer Ugu, I'll get to more of him in a moment), and utterly destroyed the small village of refugees. Killed every last one of them. One of my favorite D&D moments. Apparently, the DM had been giving us hints about what we should be doing, but we weren't getting the directions, so instead, we just went with our instincts, and killed a bunch of helpless humans.
Another thing I do is cross-campaign continuity. This is where I put elements from one campaign, into a different campaign. Even if they're in completely different settings/worlds.. heck, even different games. For instance, in my games, there is always a family of gnomes that are looking for one another and never finding one another (except very occasionally). This is actually sort of a meta-joke, as the brothers are looking for brothers that have somehow slipped into different campaigns and settings, but it's a bit of flavor that my players seem to enjoy.
I also almost always have an Ogre in the game named Ugu. Ugu was an expriment of mine, when I discovered that in all of my years of gaming, I'd never had a player character die. I had started to think that maybe they were invincible. I'd try and set up difficult encounters, and they'd always survive. You could say my own Agency was being called into question. Is it possible to kill players? The answer, of course, is Ugu.. Err, I mean yes. And of course Ugu as well.
Ugu started off as a Ogre Barbarian lvl3. He used a greataxe in one hand, and used a giant wooden door as a tower shield. And he is a player killer. I first put him up against a group of level 2 players. Their instinct, due to their percieved invulnerability, was to run up and attack him. I did the math, and they could hardly hurt him with a natural 20 roll. Couldn't hit him with a 19. He couldn't miss them with a natural 2, and would kill any one of them in 1 hit. It was a foregone conclusion. And players died.
I love, when my players, take my campaign elements, and bring them into their own games.. Ugu and the Nicklebuckle Family are sort of my children, and seeing them mature and grow further then I took them myself is very satisfying. I loved seeing Ugu in my friends game.