Oh, I do this all the time! I kind of visit other worlds in my head all the time, though, I guess.
If I could choose any world to be a part of, I'd actually like to be in Harry Potter. Silly, I know, but Harry Potter lives in a very quirky world...and I like that. I've also wanted to be a part of Brave New World, just so I could observe their society more closely. I have occasionally caught myself wishing I could be my character in Runescape, but the I remember the alarming frequency of my death and am forced to reconsider. I pretty much do it with any fantasy world, though.
I spend a lot of time living lives in other worlds, though. Acting out scenarios in my mind keeps me occupied quite well, the problem being that I can't turn my brain off when it's time to sleep. (but, hey, who needs sleep?)