I have ten or so tantalizing questions which I don't know how to solve stuck in the back of my head at all times. Some of these are truly hopeless (i.e. P vs NP), others seem like something I can probably figure out but just haven't found the right perspective yet (these tend to be more obscure). This list of questions changes over time - sometimes problems actually get solved, sometimes I lose interest in them, sometimes I learn about a completely new area and add a bunch of new problems to my list of things to think about.
If I'm at a social gathering and the people are boring, I take out a piece of paper and start trying to visualize some aspect of a problem I've been stuck on for a while, or compute what happens in some particular special situation. In order to carry out the computations, I find myself making up paper-and-pencil algorithms, typically variations of dynamic programming with some specialized bookkeeping notation so that I can see at a glance what is going on on the paper. My scribbles probably only make sense to me - lots of bipartite graphs with labeled vertices, or directed graphs with decorations on their edges, or sequences of column vectors full of letters instead of numbers with groups of little dots underneath them, or attempts to draw small three-uniform hypergraphs...
Every so often I manage to rephrase one of the problems which is stuck in the back of my head in a new way. Then I think, hey, wait - maybe someone has studied this type of problem (i.e. the rephrased problem) before! I search around, and find some research area that is almost but not completely unlike what I was hoping for, and try to read some introductory material about it. Maybe I download a textbook on, say, "unification", and just read the chapter on "confluent rewriting systems", since I think those might help with the algebra problem I'm interested in. It doesn't, but it gives me a new pencil-and-paper algorithm to play with, so I fill up a blank piece of paper trying it out.
I also have an infinite backlog of books on math that is just plain interesting to me, but which I don't expect to find any use for. Things like advanced set theory, which is interesting from a philosophical point of view (how do we come to be convinced of new axioms? Is it possible to become convinced that "measurable cardinals" really exist?), or average case complexity (is providing a theoretical foundation to cryptography hopeless?), or statistical mechanics (what are all those physicists talking about when they bring up the "Ising model"?). I go through these at a much slower pace, sometimes only getting through the introduction before I have to put them to the side to focus on other things, but occasionally I get a solid two weeks of uninterrupted time to focus on one of these and blow through... well, the first two-thirds of a book, putting off the last third to some time when I actually need to know it.
About once a year, I'm in a situation (often a conference, sometimes an unusually interesting party) where there is someone else I can talk to about my interests.