I do become engrossed in various stories, whether in books or in movies, and see the story unfolding in my imagination, like a movie. Better yet (is it?) are movies based on books or books based on movies, for example, Lord of the Rings, where I really can see it happening.
I am also a fan of fan-fiction, especially related to Stargate SG-1 and Atlantis, after all, who wouldn't want to write about journeying to other worlds, if not galaxies, because I reckon this one's on the serious down turn!
In private, I do imagine myself as some characters, but obviously, in public, moving down the street, like you're giving covering fire is kinda frowned upon! (not that I've ever done that!)