I'll probably sound stupid, but daydreaming is my life. I've daydreamed since I was two years old (that I can remember - I probably spent my whole infancy wrapped up own my own head - Oh, so that's babies do when they're not sleeping or crying!) I've been trying to imagine my life lately if I stopped dreaming or considered it stupid to daydream - two words: The. Horror.
Day dreaming is the best for me. It's my escape (childhood - boredom; now - I hate reality's rules), how I best express ideas (no one can make fun of my work no matter how stupid/childish/possibly mary-sueish my ideas may be), and I don't need to critique anything. Now when I try to turn that into my writing - I have to think it through. Not always fun, but if I like the result, it's worth it. I wouldn't even want to be a writer without my daydreams.