I often refer to my refereeing style as "just in time," which is to say, I only try to come up with stuff -- locations, NPCs, history, cosmology, etc. -- as I need it in the course of play. Until that happens, I try to remain as agnostic as possible. Now, it's true that, in between game sessions, I sometimes piece together the ideas I've thrown out there into something resembling coherence, but that's not always the case. A lot of the time I actively avoid doing so, both because, fundamentally, I'm lazy and that's work I don't need to do and because every rough edge I pound smooth is one I can't use later in order to prick my imagination.
A case in point is the Animal Kings. I invented them on the spur of the moment in order to deal with Brother Candor's clever use speak with animals, an often overlooked spell. The Cat King proved popular enough that, over time, I elaborated on the idea, establishing the existence of other Animal Kings, such as the Dog King (whose name will, of course, be "Rex") and the Rat Boss. Within the context of the overall setting, there's still no explanation for the existence of the Animal Kings; they simply are. Their origins, their relationship with the gods (if any), and so forth have no answers and won't have any until such time as it becomes necessary to have them and, even then, I may well punt and keep things uncertain, because, frankly, that's more fun.
In the past, assuming I'd ever even come up with something like the Animal Kings, I'd have worked out an extensive backstory for them in advance and made sure that it fit with everything else established about the setting. Nowadays, I just don't care. Making "sense" is a very minor consideration for me. Indeed, I've come to see such concerns to be the hallmarks of bad setting design. I mean, the real world doesn't make a lot of sense most of the time, so why should a fictitious one, especially one where magic is a reality? I'm reminded of the way that most constructed languages are much too regular in their grammar to ever be mistaken for natural languages. I feel much the same way about most imaginary settings.
On the blog, I've occasionally caught flak for not knowing things as simple as "What's the name of your campaign's world?" From my perspective, unless the characters are regularly traveling to other worlds -- which they might well do someday -- it's not really something I need to worry about. That's why I can't tell you the location of every major city on the continent where the PCs are adventuring or whether the gods are real or innumerable other little questions that a lot of gamers seem to think are absolutely vital to running a successful campaign. To each his own, of course, but I'm here to tell you that, after nearly two years of weekly/biweekly play, I simply haven't found a need to answer questions like that.
Honestly, I think that's the secret of the campaign's longevity: there are still questions to be answered and they're not persnickety, esoteric tidbits of the sort you'd find in the six volumes of Postage Stamps of Flanaess or whatnot. I fully understand the appeal of that kind of detail; I used to be addicted to it in my early days. But no more. Give me a sketchy, hodgepodge setting with lots of holes and unmapped areas and incoherence and I'll give you a campaign to remember.