I never really thought of it in terms of telling myself a story, more like day-dreaming even when I do it in bed before I fall asleep. Mostly because I do it pretty much anytime I'm alone; walking to work, walking home, sitting on my couch, etc.

Also, why I'm using the term day-dreaming is because those stories have a somewhat dream-like quality to them. Sometimes it's just random scenes (movie-like), sometimes it's dialogue, feelings, words, any combination thereof. Most of the time it's not in chronological order, always jumping around, mostly because I'm impatient and jump forward to the good bits and jump back to other bits and stuff like that.