It probably depends on your abilities, but I'll say this:

The best DM I ever played under (actually Storyteller, since it was WoD) winged everything. He just sat down and proceeded to make it up based on whatever you did. He also made you pursue your own goals -- you couldn't just be a quest-doing machine because a lot of the time, the world wasn't interested in throwing quests at you. Sometimes, you had to come up with your own plans.

I think it helps if you play in a setting with an established geography. A detailed homebrew campaign, a detailed world setting like Forgotten Realms, or in the case of WoD, our modern world (in which case all you need is your knowledge of the world and perhaps an atlas and some other minor reference tools, if it comes to that).