Formal:
* Contemplative
* Pensive
* Meditative
* Reflective
* Ruminative
* Cogitative
* Introspective
Informal:
* Lost in thought
* Musing
* Preoccupied
* Absorbed
* Daydreaming
* Brooding (implies a negative or serious thought)
The best word to use depends on the specific context and tone you're trying to achieve.