The whole comics is available here: Phill from GCHQ. I publish it as Creative Commons so it is free. When I started the comic I had no idea what it was supposed to be, so the ideas I had initially was very whimsical. For example was the thee Celtic Gods on the first page just a joke on the nature of the Western intelligence services both now and historically (in the cold war). Later I have respected the early decisions and tried to put it all together in a great puzzle. I have read up on what we know about Celtic mythology and mixed it with real history about the intelligence forces for example. It has actually become a major research project :)
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That is exactly what I felt when I was making scenarios for role-playing games, several years ago -- mostly for NEPHILIM and Call of Cthulhu. At first, a character was abruptly mentioned, then I gradually fleshed him out, giving him proper background and a role in the grand scheme. I always researched a lot, and then... researched even more, to have historic accuracy and a realistic reasoning for his motives and plans. Then trying to blend the occult/fantasy environment with real-world conspiracies and events. Oh, the joy of learning through gaming...
Roleplaying plays a big part in how I have learned to create a story. The fact that you sometimes need to improvise in seconds, makes it easy when you have a whole week.