I don't really day dream much.... I either lucid dream, or sleep dream as a rule (love to dream).
When I look like I am daydreaming, which is often, I am usually lost in a train of thought, or series of chains of thought.
I would rather be in 'flow' than daydream, so I push myself into that state as often as possible.
[Flow is that state where you are busy, the task is a little hard at first before becoming easy and pleasurable... You are so lost in the task that you lose yourself to it, much like a daydream]