I usually pick a nation and play until I get bored. Take, for example, my first 1399-1821 game as Bohemia vs my Vijayanagar game.
The HRE was Burgundy, and he was simply being an obnoxious brat after beating up France. I left the HRE and ended up eating up most of the eastern provinces. I became a colonial power, with the Holy Land and most of South America under my control. Burgundy and I had a late-game war, where I lost, but I didn't put my whole weight behind it. I ended up losing some crappy colonies in North America, but my stronger economy made the prolonged war crippling for Burgundy, and the ultimately collapsed, leaving me the predominant force in the world at around 1818.
In contrast, my game forming Hindustan was pretty boring. I was the strongest military and economical force in the world in less than 100 years. I could have eaten up the Timurids to meet up with Europe to westernise, but it would have been tedious beyond all compare (What, horde colonization isn't fun? Poppcock!). In the end, I ended the game at around 1550. By the time I westernised (I estimate that, given a good leader, it would have been around 1600), I would simply have been able to ROFL stomp everyone. That's no fun to me.
So, yeah, I rarely go into a game with a plan (outside of unifications), and I mostly play things by ear. Is France all up in my grill? Well, France needs to get out of my grill! Are the Ottomans starting to win against the hordes? Well, since I'm Hungary, that could be bad for me! Unam Sanctam, war, Serbia and Bosnia are my vassals, the Ottomans peace out with the GH and continue to fight back the Timurids. Perfect!
If, for whatever reason, the game stops being dynamic, I no longer find it interesting.