In my/the way – someone or something is blocking your path, usually a physical obstacle.
“Your car is in my way.  Can you please move it so I can get out?”

My way – my style, according to my thoughts and plans.
“Frank Sinatra sang a very famous song where he talks about his life decisions, good and bad, and summarizes it all by proudly singing ‘I did it my way’.  Very inspirational song!”

My way or the highway – expression that is an ultimatum.
“I’m sorry you don’t like my management style but at this company it’s my way or the highway.  If you can’t adjust, then you’ll have to leave the firm.”

On my way – about to leave a place or begin a journey
“I just got your message asking for help and I’m on my way.  I’ll be there soon.”

Up your way – very casual expression indicating geographic proximity
“Yesterday I was north of the city, up your way, and thought about stopping in for a visit but then I realized I didn’t have the time.”

Can you think of any others?  Please add them with a short definition and even an example sentence in the comments section below.  Thank you!