Heh...interesting thread...I often do this in certian settings...like deer hunting...where I will imagine I am walking the property looking for aliens/looters in a post-apocolyptic world...protecting the family back at the cabin from people/things threatening our live....strangely the deer don't star as the interlopers....

Also, someone mentioned music, I often escape into music....I mean escape. I can close my eyes listening so the Grateful Dead or Pink Floyd (and such bands) and just float away on that sound....and it really feels like floating away (most of the time) the music just takes complete control... Which at times is nice....at others a hinderance.