I think writers-especially fantasy writers-are just a little on the weird side. You'd have to be, to come up with entirely different worlds and characters on your own.
I always wonder about this as I'm perusing the magical thinking scales in my lab. Some amount of magical thinking is necessary in order to come up with fantasy worlds, I would think. And for certain types of magical realism? Sitting at your desk, wondering, "wouldn't it be cool if I just got up and went for a walk, and found an old alley no one else had, and kept going...?"
Obviously, no one is really going to do this. But writers imagine what would happen if a character did. What's at the end of that alley? What if it doesn't end? Is it a portal to another world, or another time? Who else do they find there? It's questions like these that separate the persistently creative from those who would prefer to sit at their desk and actually get their work done. :P
And of course, dreams. I wonder if writers dream differently. I've had at least three novel ideas from dreams, one of which (The Waterlord) is already published. The other two are in the works. And yes, while the dreams were different from what happens in the novels, the details and the worlds are the same.
Of course, I don't always dream or daydream about the fantastical. Sometimes I dream about walking to class, or daydream about my next experiment. But having that creative escape, that alley that goes on forever, is important to me. My brain never shuts off, so it always has to have somewhere to go.