Je pense à...
Here are some other ways to say it, depending on the context:
* Je réfléchis à... (I am reflecting on...) - implies more thought and contemplation.
* Je m'interroge sur... (I am questioning...) - implies wondering or being curious about something.
* J'imagine... (I imagine...) - implies a more creative or wishful thought.
* Je me demande... (I wonder...) - implies asking a question in your mind.
Remember to replace the "..." with the thing you are thinking about.