I freely confess to being a daydreamer. It comes with being an introvert. The world inside my head is just too fascinating to stay out of. This can make me appear absent-minded to those around me, and it also means that if I've been quite for a long time, I may not hear the entirety of what you say to me the first time you say it.
Minor problems aside, it means that it's hard to be bored. Granted, I carry knitting everywhere with me, so staving off boredom isn't a problem (knitting + daydreams is a fantastic combo--then you really have to repeat yourself to get my attention). It's a good way to help myself fall asleep: I just tell myself stories and eventually I drift off.
I can't remember how long I've been telling myself stories, but it's been most of my life. Sometimes I re-live books I've read in my head, but more often I work through stories I've made up, either possibilities for life or possibilities for written stories. If I'm having troubles with a character, I put them into new scenes and hope that'll do the trick.
The story-telling doesn't stop with my daydreams, or with my writing. I love to tell stories to people. My mother's family tells stories whenever they get together (a memorable Easter included 3 people telling the same story from different perspectives all at the same time), and I've just sort of picked that up. It used to embarrass me--my mom would tell stories about me to my teachers or my friends and I'd be standing there rolling my eyes. Now I don't mind so much. If/when I have children, I'll probably embarrass them the same way.
But that's a bit off the path for what I'm attempting to articulate here. I suppose it's that I think stories are essential to the human experience. I realize that not everyone may feel this way, but story-telling is so deeply entrenched in so many human cultures that it's almost inavoidable. Our culture's version of story-telling made up of books and movies and television shows and computer games (the storyline for Mass Effect and Mass Effect 2 is surprisingly interesting). My daydreams are just one form that stories can take. They are one of my responses to my need to explain the world around me.