I had imaginary friends when I was younger, though still beyond the age you normally would have. When I was about 14 I think, I had a pegasus foal named Rane. He followed me everywhere. When I was younger I had a squirrel friend. These were the classic type of imaginary friends. They where in the world with me, I would see them walk around, interact with me.
I don't have that kind of imaginary friends anymore, except for a black panther called Sai, but she is a bit special, since she is my daemon (anyone who have read his dark materials will know what I'm talking about). I found a guide on the net how to find your daemon, and just for fun I tried, and there she was
she pops up once in a while, but not nearly to the same extent as Rane.
Other than that I do have loads of characters in my head which has helped me cope. They stay in there, in their own universe, but I often imagine them dealing with the things I experience and wonder how they would react.
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Paper is dead without words
Ink idle without a poem
All the world dead without stories
Without love and disarming beauty
- Tuomas Holopainen, Nightwish