I think about almost everything (often several things at the same time). Here's a sample:
The way social structures are formed and dissolve.
The future of American politics.
Possible business ideas.
Plays, movies, comic books, and other stories that I've created in my head in the appropriate medium.
God, Jesus, and the Holy Spirit
Possible paths that I can plot my future along
The thing I saw on TV last night
Things that frustrate me
Things that I appreciate
The interactions of the individuals that I observe and why they do what they do
Funny situations that I create in my head
Songs where I change the lyrics
Something that I read on a forum