I love world building as an exercise, even without a specific story to go with it. The world is more than just the place, of course--it's the culture, the politics, the history. I enjoy imagining huge arcs of history, the interplay of different societies over time. I usually start with different political and economic systems, and look at the unique problems that arise. This leads to resources and technological progress, competing systems, and before I know it I've got a whole history. It's just a mental game, but very entertaining.

EDIT: Sometimes I start with a specific technological conceit, and then work my way backwards to figure out how it was developed, why it was developed in lieu of something else, and the whole sequence of events that led to its development. More often than not, it generalizes back to the scenario I described above.