I'm one of those who has to write straight through from beginning to end. I can't jump between scenes I envision, then go back and add in the middle. So, yes, characters often do unexpected things!
Like this new story I'm working on right now... I want tension, I want angst. The characters want... ACTION!
I usually find that when I let those jokers run wild, I end up liking what they do better than what I do.
