When I set up a role-playing game session, I try to anticipate what might happen once my players interact with it through the actions of their characters - with my locations, my NPCs and with whatever monstrous creatures I populate my setting with. Then we all "play to find out..."
The art of refereeing an RPG depends greatly upon one's ability to multi-task. A good referee will possess more than one skill set. Part of the job is creation; to create a setting, scenario or an entire world. The ability to excite others, to describe, to manage suspense, to react and to improvise, to apply the rules and to make fair rulings, are all aspects of the multi-faceted job of the referee.
The way I personally run a game is from the perspective that the rules are mostly about character creation and advancement and combat. Everything else is handled through discussion between referee and players and role-playing out those interactions with NPCs. This portion of the game requires very few (if any) rules. Occasionally I will call for a die roll, just to cover the chance (including all those elements beyond our ability to understand, control or account for) that luck plays in the outcome of any endeavor. It's just my preference and it seems to work for many players who have enjoyed playing at my table.
My preparation for play is generally focused on the location. I try to create some place that is both interesting and that I and my players can explore to find out more about. One method I use for this is to borrow a bit of inspiration from something in my real environment - preferably several somethings that when combined will feel original and at the same time, a bit familiar. This has the advantage of giving me a mental place to draw upon should I need additional detail (who can predict what players will ask?) while also containing some mystery. The more experiences the referee has, the better able we are to draw upon a wealth of data to fill in our improvisational descriptions!
With a location in mind, I will populate it with creatures. It may be an NPC, a monster, two quarreling factions, or something else for the player characters to interact with. Again, jotting down some notes based upon a mental image of the creature or thing will get me started and if it is something with a motive, I will have an idea what motivates it - hunger, curiosity, taking a prisoner, or gaining some treasure?
Frankly, that is usually about all I have to start with. A map, a few notes and a good idea from which to draw additional inspiration from allows me to go where ever my players decide to take their adventure. For me, that is player agency - decide what you would like your players to do in this location. Sometimes my players will decide "this isn't interesting" and move on to another location, so it helps for me to give some thought to the broader area. This is where remembering where I originally borrowed my idea from helps. Over the hill? Across the river or onto the next town. Grab some inspiration and start making some notes as you play. That is how I frequently build my setting.
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