Chalk up another "it depends; I only feel cheated when it's done poorly" over here.
I don't mind if a GM improvises everything, provided that it's done well enough for the game to be fun and for me to feel like there's some kind of coherent plan behind it. It doesn't have to be a very specific plan, it just has to make sense, you know?
Personally, I find that there are a lot of things about the system in D&D that make it difficult for
me to just improvise everything; using all the various monsters and spells properly and to good effect more or less requires me to sit down and write down some stuff, just so I won't forget it under the pressure of actually running a session. But if I
could run that kind of thing off the top of my head without screwing it up, I likely would.
I think it also helps if the players can't easily see the parts that are being completely improvised. Again, this is easier in some systems and with some players, and nearly impossible in others.
For example, in our current game I occasionally get miffed at our GM, because he has a tendency to throw in magical traps and uses for spells that don't match up with the rules; as the guy playing the wizard (and having had to spend much more time looking at the magic rules than anyone else in our group, and much much more than I'd ever want to), I often feel like I'm getting cheated. NPCs can crank out bizarre, complicated, and occasionally nonsensical magical traps (or items, or spells) literally overnight at zero cost to them, and meanwhile I'm actually being held accountable for all the time/gold/xp costs when I want to do something similar. It's not an intentional double standard, but it seems to be the inevitable result of him improvising things with his NPC wizards, and I don't think it would be happening if he was actually sitting down and trying to make everything work within the rules.
I generally let it slide (arguing over rules in the middle of a game is much worse than an NPC getting a free ride on an ignored rule), but as we run into more and more wizard opposition, it's coming up more frequently. And I don't really blame him for not following the rules to the letter on stuff like this, because, good lord, the only reason
I studied the magic rules so much was because I knew if I didn't I'd be a genuinely lousy wizard. But still, when I want to do something unusual with my PC, I have to discuss it with him out of character and we go through the rules and apply them for
that, so I'm afraid that "cheated" turns out to be just how I feel when I see NPCs skirting the edge of the rules just because the GM doesn't want to spend time to really work out something in advance.
So that's kind of a bad thing about improvisation; unless you're very careful about only improvising with the things you know really well, you run the risk of making on-the-fly rulings that only apply to the NPC you're improvising with and get right up the noses of players who realize that they will never be able to do the same thing.
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but as risks go, that isn't a game-wrecking one
ryan