Excellent question.
I must be Veinglory's mirror image, b/c I can't write in the categories that sell, and can only write what I, myself, would enjoy reading.
I've done what Jules said, too, trolling for calls for submission and sometimes having fun ideas that I wanted to write, except that when I wrote them, it was clear they weren't right for the market that was asking for the submission. Actually, that's what happened with the short story, Chocolate Widow, that's running at Ruthiesclub.com this week, except the experience has a happy ending, b/c while I'm still convinced it wasn't right for the anthology that inspired it, I did find a different market where it was right.
But I do think it's a perennial chicken-and-egg (or market-and-story) question: do we write to market or do we write what we have to write and then hope to find a market for it? It's not quite that black and white, b/c we can keep certain guidelines (word count, tone, etc.) in mind as we write.
JD