I do this a lot. Here are just a few:
-Debate people in my head. I'll create the persona of someone I know, and debate them essentially. So if it's on the topic of religion, I'd imagine that me and my extremely religious mother are sitting at a round table, then I'd argue both my position and hers. It's an interesting way to pass the time and you can better understand differing points of view.
-Plan how to take over the world. I do this usually if I've recently seen or heard something that makes me lose faith in humanity. I then think: "How much better would it be if I was in charge? Hmmm..." Then I go off and start imagining all sorts of scenarios about world domination.
-Think about what I would do during a [insert disaster here]. This one is really fun. How would I react during a hurricane, a flood, an earthquake, a nuclear bomb going off, a war, a zombie apocalypse etc. Zombie apocalypses are the really cool ones though, I think about how I'd have to find a group and party up, what kind of people would be in it, what weapons I would try to find, what weapons would be best for killing zombies and a whole bunch of other stuff.
-How to kill everyone in the room and get away. If I'm in a loud environment and I am not engaging with anybody, I'll think about how I'd kill everyone there, leaving no witnesses and get out. How close am I to the exit? How many can I kill before everyone figures out what's going on and starts screaming? Any weapons around? Or will I have to use my bare hands? These thoughts all go racing through my mind.
-What I would do in a fight. I imagine myself getting mugged and think about how I'd get out of it, or I imagine myself in any generic fight with someone else.
-Fantasy scenarios. This one I did a lot as a kid. If I was in [insert fictional universe] what would I do? Books, movies, tv shows, poems, I imagined pretty much any fiction that was to my liking.
-What would you do if you had God-like powers. I enjoy this one immensely. One of the first things I choose to do is split myself into 5 limited aspects of my own personality and then we play games and make bets with each other, whilst screwing with humanity.