I'm sure some people set out to write a trilogy, but I think you'll find that a lot of writers simply set out to write a story, and that a fantasy lends itself to having more twists and turns than other Genres.
Here's my opinion why. Most Genres fashion an existing world, with a city, or set of characters. A love story centers on two people. A murder on a suspect, murderer, murderee, and a few other characters of substance. If you keep adding people to a murder mystery or romance, you complicate things endlessly.
However, with a fantasy, you are creating worlds, species, realms. There's not only the story you are telling, but like most worlds, there's a history, and a future. And in making everything relevant, you find there are countless possibilities.
If you were on another planet, and someone told you about earth, and WW2, one of your readers is going to say, "What happened to Germany next? Did they have another dictator? Did the other countries recover?"
As a writer, you become involved beyond what any reader is going to read in your story. My guess is that for every fantasy you'll see on a book shelf, you'll see reams of stuff in the authors burn pile, shelf, or saved in their computer files. Look at all the post mortum books posted on Tolkien. There were multiple versions of chapters, altered histories...etc.