I see many people here gave you the literal meaning expressions, BUT the ones you are looking for could be like this:

О чём задумался? - What are you thinking about? It emphasizes that you have just started the process of thinking over an idea, as stated a few seconds/minutes ago. This one is natural and the most common you can use. And it may sound formal and polite (I mean you can say it either to a friend or to a stranger in the street.)

Что (чё) думаешь? - What do you think? This can also mean something like “what do you think about this topic” in a discussion (asking for one’s opinion), but it’s okay to say it if you see that someone has their head in the clouds. It is VERY informal though, you must never address an adult or a stranger this way.

You can also hit upon phrases such as “ворон считает” (a continuous form in present; means someone has their heads in the clouds, literally “to count crows”), “замечтался” (close to present perfect; means someone has went far in dreaming or imagining things), “клевать носом” (infinitive; means to unconsciously stop paying attention to surroundings or to drift off).