Yes and it usually has themes of whatever I am longing for. It's like fantasy, but not in the magical sense, in a sexual sense (although not necessarily about sex at all) - desire. I know it's unhealthy because it feeds desire and discontent in me.
Like a 9, there is escapism from the present and the unpleasant (I think 7s daydream for that purpose too), but instead of leaving me more peaceful, as if daydreaming were some kind of emotional anaesthetic, it fuels the longing and the melancholy. It makes me constantly have a comparison of my ideals with the real world. It explores the deeply significant while all else feels incredibly mundane. I try to escape the mundane more than the pain of life.
This daydreaming can be anything from an ongoing storyline to visuals that music or the general ambience may inspire. It's cheesy, but I like doing music videos in my head, where I splice together striking, imagined visuals that the music conjures up. I can also be quite shallow and spend time constructing rooms, clothing, and other crelative projects I'll probably never do in actuality. I like music and still visuals and books better than TV or movies for this reason, because I like to be able to lapse into my own fantasy that these things inspire. My own visuals tend to be more interesting to me.
I've realized how much of this embodies a value-concept of sorts though - it has an emotional tone to it and it says something to me about human experience, whether I've had it outside of the daydream or not. My daydreams are frequently tragic because of that. When I was younger I'd purposely read/watch/listen to stuff that would stir up some intense fantasy that would upset me. And then I'd know what impact something has on people - what it means and what weight it carries.
I know this has some value, but it's not real world value and tends to only receive any validation if I can channel it into some form that others can understand it in. That's not easy to do and even that can be written off as frivolous.
The other half of the time I am working out what I feel/think and/or musing on theories and ideas. So if not daydream, then I'm lost in thought. People think I have a dreamy appearance regardless of where my brain is actually at. Staying in the moment for any length of time is hard for me.