I think all the other answers brushed on the topic of having things in your mind that it won't let go, but for some reason no one went and made the obvious association to GTD.
David Allen speaks of the mind like water, which is the state where you are unconcerned with everything you have to do, all the goals of your life, the projects, responsibilities and the fact you're expecting a new hip pair of flip flops to arrive by mail any day now.
That is so because all of those things are captured safely in an outside system you trust, so your mind finally feels like it can let go. And day dream less you will.
Still, everything said and done, daydreaming is often an indulgence--and can be immensely pleasurable. The thing is, we often day dream instead of doing the things that would turn the dream reality. So every time you catch yourself doing it, just ask yourself: wouldn't I rather be actually working on one project that I love, enjoy and has utmost importance to fulfill my dreams, than just sit here and think about doing it? If you're on a meeting, either you're wasting your time (then leave it at once) or you're wasting your time (then just get it over with as soon as possible).
And then the very notion of "mind like water" has everything to do with meditation, yoga and martial arts (like Allen himself). So those help too.
I believe I'm kinda preaching to a choir here, but since no one had mentioned, there it goes.