I have three primary scenarios.
The first is I replay conversations in my head, changing elements of what I may have said and done so I look better than I did. I developed this strategy to cope with the anxiety I felt when I had said or done something stupid, or to calm down after someone had said or done something to me that upset me greatly.
The second is I imagine taking some idea or philosophy to the extreme and imagine if I were president or someone important, how it would pan out.
The third is usually just fantasizing and exploring how I feel, which is sadly usually much more intensely than I in real life. A lot of these are spin offs of anime, movies, and books, where I take on the identity of a new character and live it out in that imaginary world.