For example: Let's say we introduce a protagonist on page one or two. We want the audience to get a feel for him, we want them to invest in him... but we don't want to tell them everything he's going to be required to do over the course of the movie, because that would ruin the fun. In fact, the less we can tell the audience plotwise without losing their interest, the better. There's plenty of time for plot in the pages ahead; right now we need them to understand the person they're going to be spending the next hour and a half with. Often, the best way to do this is to set the protagonist up with a very specific plan for getting what he wants out of life. The audience will see very little of this plan played out in the movie (perhaps even none) , and that's fine; its mere introduction serves two very important purposes. One of them is, as already explained, to tell the audience some important things about the character's psychology. The other is to create drama when the plot comes along and derails our protagonist's preconceived ideas for what to do with her life.
Alternatively, it gives the protagonist a reason to refuse to embark on the quest that the plot represents. This reluctance was often a part of mythological tales, leading Joseph Campbell to coin the apt phrase "Refusal of the Call" to describe the initial unwillingness (or unreadiness) of a hero-to-be. Typically, the protagonist's ambivalence will be at least partially resolved by the end of the first act, which is to say that while he does accept his quest, he may not be doing so for the right reasons or with a fully committed heart. Nonetheless, the progression from "totally unwilling" to "partially willing" represents an important segment of the character arc. It's not always feasible to include this element -- action movies in particular have a need to get things moving quickly, which can leave little time for a character to refuse anything -- but screenplays that do a good job of incorporating it are often more satisfying.
If a character has a plan before the real plot begins, she also has something she can return to later in the story when the plot leaves her beaten and exhausted. Furthermore, the way that plan now appears to both the character and the audience -- somewhere between "no longer valid" and "utterly ridiculous" -- should demonstrate the vast distance that the character has traveled internally over the course of the story. The audience will be seriously impatient with the protagonist at this point -- "Why is he going back to the job/girlfriend/belief system that I thought he'd advanced beyond?" -- but on some level, they'll understand why he's retreating. The sense of hope and satisfaction that arises when the character finally throws off the old shackles and heads forward into Act Three can't exist if we haven't set up a solid "Plan A" in Act One.