Movies, video games, music, fantasizing, sleeping. Anything that disengages me from real life. The worst/best forms of escapism for me are either the ones that are just a reflection of my life but better, or so completely far removed from anything in my life that it becomes easier to fantasize about.
My favorite is dreaming. It's a vivid mix of real and absurd but it's all fantastical. A "hobby" of mine is napping, having incredibly lucid dreams, waking up to write the dreams down, and then going back to sleep. Sometimes I wish I could stay asleep, dreaming, forever.