My experience has been that there seem to be an infinite number of thoughts, impressions and fragments of thoughts 'floating' around in the ether just beyond my ordinary conscious awareness. The conscious awareness selectively notices particular thoughts and impressions and develops and follows conscious lines of thoughts based on this selective noticing and choosing.
This is similar to ordinary awareness of the environment and physical senses. In waking awareness, there are an infinite number of possible sense impressions on which one can focus. For example, with our peripheral vision, we can see and process the entire panorama. However, we focus on specific 'things' and this is what forms our conscious awareness, and subsequent memories (although our minds also subsequently distort the visual impressions, creating memories not necessarily based on actual physical experiences).
So as these infinite thoughts, thought fragments and thought combinations swirl around in the 'sub' conscious mind, we selectively notice particular thoughts and consciously develop them further.
Why do we 'choose' the thoughts we choose to follow?