Studies at Dartmouth are showing that the "default setting" of our brain is set to "daydream":

Some people seem to continually have their heads in the clouds. Perhaps they are pondering during their drive to work the next pickle 24 protagonist Jack Bauer will find himself in. Or maybe they are assessing while buttering toast the Indianapolis Colts’ chances of finally making it to the Super Bowl. Or considering where they will dine that evening as they tap out an e-mail. The question is: What makes their minds veer from the task at hand?

Researchers at Dartmouth College may have the answer. They found that a default network of regions in the brain’s cortex—a grouping known to be active when the mind is completely unoccupied—is firing away as a person is engaged in routine activities.