In honor of Saul Rosenzweig's lifelong efforts to provide empirical tests of psychoanalytic theories, this paper has focused on a series of research approaches to examining the concepts of William James and Sigmund Freud relating to waking fantasy, ongoing thought, and beliefs about the self. Studies involving projective methods, psychometric analyses of self-report questionnaires, laboratory tests of daydreaming during signal-detection tasks, thought-sampling during natural daily activities and psychological correlates of actual-self and ideal-self discrepancies are described. Clinical applications of these methods are also presented. The findings in general point to the value of James's conception of conscious thought as an important basis along with cognitive unconscious processes for studying clinical phenomena, personality, and even the metaphors of dreams. Rosenzweig's emphasis on formal research testing of psychoanalytic processes is supported.