Some Harvard psychologists somehow got 2,200 people to put an ap on their iPhones that querries them at random intervals about what they are doing, what they are thinking about, and how happy they are. The least surprising finding is that the happiest people, by far, were the ones having sex; apparently not even being interrupted by your iPhone can ruin that experience. Other activities that make people happy include exercising, conversation, listening to music, taking a walk, and eating. Activities that make people unhappy include commuting and working.
The more interesting thing about the study has to do with what people are thinking about. What the research shows is that people who are focused on what they are doing are happier than those whose minds are somewhere else; this was a stronger effect than the difference between activities. Of course, these numbers are not independent, because people doing the best activities were more likely to be thinking about what they were doing (only 10% of people having sex admitted to thinking about something else, compared to 65% of those engaged in personal grooming). And for people who were thinking unhappy thoughts, it didn't matter where they were or what they were doing; they were unhappy.
Setting aside the problem of basing conclusions about human nature on the self-reported mental states of 2,200 iPhone owners, I think this study pretty much confirms what everyone knows about daydreaming and happiness. Letting your mind wander is risky; it may take you to happy places, or it may wallow in despair. If something is really bothering you, then your thoughts are likely to stray back to it whenever you let them. The best way to escape from bad thoughts is to throw yourself into something that engages your mind. One of the basic problems with life is that it involves lots of activities that don't really engage our brains, leaving us unable to escape from sadness when we need to. These findings seem to support the Buddhist notion of Mindfulness, that is, that careful attention to whatever task we are doing is the best way to organize our minds, and also the program of cognitive psychology: if what you are thinking about determines your mood, then learning to control what you think about would be the simplest way to become happier.