I actually barely started doing that yesterday. ;D I don't even remember why; I was just sitting there, and all of a sudden Tetris just started playing it's self in my head. My reaction was something akin to; "Why the hell is Tetris playing in my- ohh! That block go there! GO THERE I SAY!" XD;

I also start telling myself stories when I'm bored. About me, about my characters or friends, about random people I see. It doesn't really matter, I'll just start up a story where ever. :3

... I've noticed a few other people mentioning playing video games and the like in their heads, so I just want to mention that I actually replayed a favorite part of Kingdom Hearts II in my head once. Except I was asleep so this is the wrong topic for that. D;

EDIT: Just remembered. Sometimes when I'm not playing video games, Tetris or telling myself stories, I'll have a really catchy song turn on in my head. Only trouble is it WON'T GO AWAY. *sobs*