Learn German: Ich denke oft an eine große Bühne. - I often think about a big stage.

The verb denken pairs with the fixed preposition an to mean 'to think of' or 'to think about'. When learning new verbs, it is best to memorize the preposition that goes with them as a single chunk: denken an.

I thought an was a two-way preposition. Why does it take the Accusative case here (eine große Bühne)?

You are right that an can take Dative or Accusative for locations. But when a two-way preposition is used abstractly as a fixed partner to a verb (like denken an), it almost always forces the Accusative case.

Why is the adjective groß written as große here?

Bühne is a feminine noun (die Bühne). Because we need the Accusative case for the phrase an eine große Bühne, the adjective groß takes the feminine Accusative ending -e to match the article eine.

Why does oft go before the prepositional phrase instead of at the end of the sentence?

In German sentences, adverbs of frequency like oft typically sit close to the verb they describe, coming before the prepositional object (an eine große Bühne). Putting oft at the very end would sound unnatural to German ears.