WordNet (r) 3.0 (2006):

Walter Mitty
    n 1: fictional character created by James Thurber who daydreams
         about his adventures and triumphs

Moby Thesaurus II by Grady Ward, 1.0:

32 Moby Thesaurus words for "Walter Mitty":
   absence of mind, absentmindedness, absorption, abstractedness,
   abstraction, bemusement, brown study, castle-building, daydream,
   daydreamer, daydreaming, depth of thought, dream, dreaming,
   engrossment, fantasy, fantasying, fit of abstraction, mooning,
   moonraking, muse, musefulness, musing, muted ecstasy, pipe dream,
   pipe-dreaming, preoccupation, reverie, stargazing, study, trance,
   woolgathering