I have imaginary conversations fairly often, with people I make up spontaneously in my head. I try to give them personalities that suit whatever I need to talk to them for, if that makes sense. I sometimes pretend someone is 'interviewing' me and I'm answering their questions, either on a talkshow or in a therapist-like setting. It's a good way to analyze things too, to see all the different sides of a situation by having someone question you about it.
Sometimes, when I'm really sleep deprived and too lazy to make up a personality, I use a celebrity or something, but because they're real people whose personalities might not be anything like I imagine them to be, it feels a little weird to me.
I never answer out loud though, that would be embarrassing for me. Sometimes if I'm really into it I'll unconsciously mouth or whisper my thoughts, though.