Hell yes, I would disappear into my own world were it possible.
I don't only daydream, I get VERY caught-up in music too xD And movies, even. The latter is something I noticed when, during the last two years in every exam, I started thinking about movies in the very back of my mind (like subconsciously, I could not remove them) while working questions out, even movies I haven't seen in half a year or longer .. VERY weird. For me. xD;
It seriously surprises me how many people daydream so much.. does it say something about life in general for many people, or do I read into it too much? Hmmm. o-o