Jonathan Gottschall dissects them in The Storytelling Animal:
Clever scientific studies involving beepers and diaries suggest that an average daydream is about fourteen seconds long and that we have about two thousand of them per day. In other words, we spend about half of our waking hours — one-third of our lives on earth — spinning fantasies.
We daydream about the past: things we should have said or done, working through our victories and failures. We daydream about mundane stuff such as imagining different ways of handling conflict at work. But we also daydream in a much more intense, storylike way. We screen films with happy endings in our minds, where all our wishes — vain, aggressive, dirty — come true. And we screen little horror films, too, in which our worst fears are realized.
The Dish 