In a poll on my Dutch site I asked the visitors whether they fantasize when they masturbate or not. There were 1288 people who responded, with this result:
Always: 53,4%
Most of the time: 19,3%
Sometimes: 15,6%
Never: 2,8%
I never masturbate: 8,9%

Most people fantasize when they masturbate. They caress their body while having exciting adventures in their mind.