Traditional dungeon adventures are perhaps the easiest thing to run as a DM; the walls, traps, puzzles, and inhabitants are already there, ore planned and laid out - although your adventurers can and will do everything in their power to disrupt the carefully planned storyline you envisioned for them. Outside of the dungeon environment, however, it is more challenging to remain in control, provided that you permit your players a real feeling of free will: they will interact with your game world, and do what adventurers usually do with it. I like to set up a few wilderness or "on the road" encounters to keep the party busy and on their toes when they are travelling from town to town, or to and from the "real adventure" This works fairly well, up to a point, but every so often, a player will have his or her own ideas about what to do and where to go next.
After years of hastily sketched wilderness encounters, random die rolls and helpless shrugs when the players wanted more information than I could think up with on the fly, I created a new section for my Dungeoneering 101 binder entitled "Encounter Zones" This is a series of open air areas where I have taken the same attention to detail that I would put into crafting a dungeon adventure, and pre established all the features the area has: where are the trees, what kind, how high, are there low branches, if so, on which ones? I did the same for the grass, rocks, and any and every feature that might be found in the spot down to the insects that live under the rocks or leaves on the ground, including pictures, where necessary. With several of these pre made templates for any conceivable type of wilderness encounter, all I need to do when it becomes necessary to throw a challenge at my players is to pull out one of these zones, drop their minis on the map, and add the monsters. The entire experience of running an adventure on the fly becomes much more rewarding for the players, and much less stressful for me!
This system worked so well, I next did the same thing for subterranean adventures, and made up twenty "regional maps" for underdark wilderness exploring ... Now, whenever a new campaign commences, I have no worries about giving the players free reign to go and do what they want, I have an adventure for them no matter what they do, without the game devolving into a chaotic and confused mess.