I’ve heard it said that once you create your characters and set your story, there will be some amount of losing control of your story. Your characters will have to do things that are part of their character. You will lose the ability to make them do things that are outside of those parameters, no matter how much you may want to. You may have some ability to drive the events of the story, but your characters actions, reactions, and interactions with the setting and the events of the story will inevitably push your story forward and you have, once you have established their personalities, lost some control over them.
The joys of discovery. I actually find that I like this aspect of it. I come to my manuscript each day with only a vague idea of what will happen. But I know that I cannot be “married” to that idea, because, again, the way my characters interact with their surroundings and the events (which, as a historical fiction writer, many of those events are established for me by history) make the story. And they can certainly surprise me with the twists and turns that they take.
The frustrations of those twists and turns. I have recently begun working with Scrivner. And with my 
current work in progress (WIP) I have been jumping around a bit as the Scrivner software allows you to do a bit more easily. So, I may write a couple of scenes that take place at a pivotal moment in Chapter 8, for example, because I just am feeling inspired in that direction. But, I neglect to remember that my characters can (and do) take the story in a different direction when I go back to Chapter 5, for example. So, they wouldn’t emotionally be in the same place I had them at the start of the scenes I previously wrote in Chapter 8. Make sense? Makes for some frustrating rewrites.
What about when your character takes the story in a direction perhaps contrary to the story? I’m in this place right now with my WIP. My character has gone in a deep place that I am 
tentatively exploring, but I’m unsure how it actually fits in with the story overall. What do I do with that? Do I go back to the point where it “went off the track I though I was on” and try a rewrite? Or follow this track through to its conclusion and see where it goes? It is an intriguing trail, so I may continue to explore it for a while and see if it’s a rabbit trail or a gold mine?
All in all, I find this whole prospect to be rather intriguing. It’s certainly not something I was aware of when I was writing my first novel. But the more I write, the more I find I lose control over the story. And what a ride it is!