It depends on when, where, what is playing, and what I'm doing.
I tend to sing a long or lip-sync. Sometimes, I sit there and just listen, especially when it's my first time hearing a song.
If I know how to play the song on guitar, I'll play air guitar.
Sometimes I draw or write. In school, it helps me focus on reading/tests.
I'll also tap my feet or tap my hands to the percussion section of a song.
Or I'll improvise over a song on guitar or mandolin.