I used to play tetris in my head. Now its more likely that I play either the music game my friends and I came up with (you start with a lyric from a song, and then the next person needs to come up with another lyric that has one of those words in it), or just entertain various stories. Occasionally I chat with the characters I've created...

I often find myself playing games in my sleep too. Sleep tetris, sleep Left 4 Dead, sleep Resident Evil....and so on. XD;