"Some pretenders to high science and higher techniques aside, we do not start out with well-formed ideas we carry off to distant places to check out by means of carefully codified procedures systematically applied. We go off to those places, or, increasingly these days, ones closer by, with some general notions of what we would like to look into and of how we might go about looking into them. We then in fact look into them (or, often enough, look instead into others that turn out to be more interesting), and after doing so we return to sort through our notes and memories, both of them defective, to see what we might have uncovered that clarifies anything or leads on to useful revisions of received ideas, our own or someone else's about something or other. The writing this produces is accordingly exploratory, self-questioning, and shaped more by the occassions of its production that its post-hoc organization into chaptered books and thematic monographs might suggest."
What Clifford Geertz writes about cultural anthropology is basically how I feel about history.