Sorry this may be long :( :
1. Escapism from depression and anxiety. I have been diagnosed with bipolar disorder, generalized anxiety disorder, binge eating disorder, and borderline personality disorder (but the last one most people don't agree on... I can see how it fits and sometimes it doesn't fit.). For years, I've daydreamed to cope with the psych issues and the side effects of the meds I take.
2. Possible dissociation...considering I have other traits of borderline personality disorder I wonder if this may be part of it. When something terrifying has happened in my life (i.e. when I was molested by my piano tutor) I turned to daydreams.
I have an addictive personality (I also have trouble with binge eating)
High "need for cognition" is a big one. I know I consistently score high on this trait because I've worked with the construct in the past before. My mind is always "ON" high... the internal monologue is always racing. Usually it's anxious ruminative thoughts and obsessive/escapist daydreams if I'm feeling low. If I'm feeling good or at least semi-normal, half my thoughts are still that, but the other half are basically psychological/philosophical thoughts about about what ever's going on around me. For example, I may have read 5-10 seemingly related but unrelated journal articles when I was bored and then noticed something in my environment. Blah blah blah...everything is a trigger...like I go to the grocery store and notice how two people interact and it reminds me of something that reminds me of something else. I'm constantly writing lit reviews and proposals in my head and figuring out who/which labs would be interested in studying the particular question I'm obsessed with or who would have a dataset lying around to test my theory. This also sucks, because professors love me for this and we start talking/working together, I join a lab, and then I fall off the face of the planet during a depressive episode and then they think I'm a flake. But, because of the racing thoughts, I can never get anything finished or started. Not to brag, until the psych meds I had a really good memory so I could remember details of something I read once 3-4 years ago (like, where on the page I read it, who are the authors/which labs they're from, etc.). With the psych meds and maybe the psych issues and worsening MD, it's not as good as it used to be. For me, experimental psychology is a drug, and because all I need is an academic library, casual social interactions, and a period of normal or hypomanic mood I indulge often.
Certain things I've always been interested in (such as mood and cognition, mood disorders, BPD, suicide and self-injury, and gender/cultural issues)... actually some flavors of this have been in my mind since I was a kid (10-12 years old). These questions are nagging and surprisingly constant. But, a lot of things come in phases. I easily become extremely obsessed with topics and can spend months doing nothing but read. But, then I have intermittent obsessions... I love history and end up obsessed with a historical period for months at a time and read obsessively about it (fiction and non-fiction)... or I end up obsessed with other psych topics I usually don't go for, or I decide I have to know everything I possibly can about the Yazidi mythology or something equally obscure. It's a compulsion... I can't turn the faucet off. These impulses seem to come out of no where, but at some point my curiosity for these topics are sated (unlike the other topics I was talking about before).
I have lots of hobbies. In the last year before I fell back into the rabbit hole, I took up swimming lessons, Indian classical voice lessons, and improv classes. Improv was particularly impossible for me because of my inability to get out of my head (funny, I have NO stage fright... I have trouble "being in the moment" even in my life depends on it).
I have friends that I have very deep relationships with, but that's been breaking down a bit with depression. In fact, I don't think I have shallow relationships because then I wouldn't try to maintain them (too much effort). I know they're always there for me. Many of my friends have been in my life for 10-15 years. They don't really let me push me away though because they know of my depression and know that, if they haven't heard from me in a month, I'm not okay. My extended family has a lot of psych issues. We're Indian and Indian culture in some ways kept us from talking or being real with each other. It isn't until recently that I've had these relationships with family. The MD and my own insecurities have kept me from being more engaged. I'm lonely because I feel like I can't connect with people right now even though I need them because of my head. MD makes me more lonely so vicious cycle.
I also feel incapable of romantic relationships (I'm pretty celebrate and extremely terrified/distrustful of almost all men...especially in romantic situations). I don't know any marriages in my family or amongst my friends families that actually involved any love. I have an extreme need of some sort of love and fantasize about being loved...but a lot of the fucked up subconscious parts of me believe that this is impossible because men are not capable of love. I KNOW this isn't true...but my thoughts are fucked up. So, a lot of my daydreams are about a made up man. I'm extremely lonely.
7. Extreme loneliness as a result of a weird childhood. Basically isolated from humans who were not my parents or one of five other people till I was 4. Apart from my mother, the others wouldn't really talk to me and she was super busy so most of my life... for the first 4 years was spent in front of a television. This was particularly hard because I am an extremely extroverted person who thrives on conversation and relationships. They did the best they could, but it did mess me up a bit. I was very overweight (still am) so had no friends in kindergarten/1st grade and was bullied a lot. Then I was sent to India at 7 to live with extended family. There I was the weird fat American kid...didn't have friends really till I was about 8 or 9-ish. Didn't have play dates/wasn't really allowed to hang out with other kids until I went to India either. My relatives in India were also kind of unstable...if I ever cried because I missed New York or my parents or anything, my aunt would do things like scream at me or lock me in the bathroom. So, I really started retreating into a dream world and started reading obsessively. Came back to America and lost that and my friends. I was the weird fat nerdy/teacher's pet Indian kid with a funny accent and, so, I had no friends through middle school. My parents were pretty absent emotionally (my dad is a fucked up asshole who is incapable of emotion, my mom couldn't at the time) and we also had extended family living with us who would bully me at home. So I had to live in a dream world. It wasn't till about 14-15 that I actually started having friends and a social life of some sort. But starting around 9-10 I started having about one or two depressive episodes a year so even if I had friends, I felt lonely.
8. I love writing. EVERYTHING is an idea for a story/poem... so I guess writing is another drug that I have way too easy access to.
9. Life circumstances; I'm a failure. I'm a piece of shit who hasn't done anything useful for a year, I'm two months away from turning 26, and I'm living under the covers in my parents basement because of the anxiety I have when I go outside. I'm morbidly obese and I've relapsed on the binge eating after six-eight months of being sober. I'm constantly physically sick (exhausted/can't get out bed/menstrual issues that keep me in bed for three weeks). Daydreaming is easier than facing up to the fact that I'm just a drain on society and on my parents. Imagining that I could have a life where I may be successful and have a family of my own with a man who actually loves me keeps me from killing myself.
tl;dr: just read the bold.