yeah, i daydream a lot too. what i particularly dislike about it, is that i am much more vulnerable in this state of mind.. i get caught of guard if someone interacts with me in one way or another (e.g. a stranger may bump into me) and my responses are automated.
i cannot control it, but my fantasy world isnt fun at all, i used to put lot of my time into "what-if" imagery, however in reality things havent been going well for me, so now i dont even like imagining best case scenarios, because they never actually happen.