My band uses sets but like Nigel we're flexible and if the mood calls for it the band leader will improvise and call up a song that isn't on the set list; something we've played and practiced before or course. Panick would ensue if a song was played out of the thin blue air where we hadn't practiced it beforehand let alone a song that none of the other members know at all. So he's careful to pick something we've all well practiced on before. If your an OMB which I am too of course, then winging it is a convenient method for keeping things flowing and being spontaneous with your music and with the crowds.

I could see where set lists even when OMB'ing, could be very practical too especially in a more structured environment, eg., at a 'wedding', etc.

Best regards,
Mike