I often just say my thoughts out loud as if I'm talking to someone else, telling them about something, but it isn't to anyone in particular. I will usually only have conversations with real people in my head if I am preparing to do so in real life, or if I at least want to tell them those things. I have had a few times where I was talking (more like yelling) as if I was having a conversation with someone who made me angry, but they weren't actually there.
Talking to myself is pretty common when I'm alone, to be honest I probably do it more often than not, unless I'm really focusing on something. I will also sometimes quote my favorite lines to myself, usually from funny videos or movies that I like (and watch many times), or even making my own jokes, and then I laugh at them out loud... I'm sure I look pretty ridiculous to others when I'm doing that, judging from their reactions in the past, but I don't really care 
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"It has long been an axiom of mine that the little things are infinitely the most important."
- Sherlock Holmes