All the damn time.
And not in that "lol im so random and crazy lol" kind of way. It just kind of happens sometimes.
Usually it starts out with me making statements or posing questions to thin air, and I gradually drift into answering myself. But there have been a few times where I have flat out just addressed myself and had an argument or whatever.
Personally, I don't think it is that crazy at all. Sure, you get odd looks, but damn near everybody has done it at least once.