According to Oxford dictionaries; Musard, John-a-dreams, Air-monger, Castle-builder, Alnaschar, Reverist, Stargazer (my favorite), and Mitty.
I’ve also heard Woolgatherer, Wishful Thinker, and Escapist.
I wish daydreaming was viewed in a more positive light. I feel a note of condescension in these terms. We should promote dreamers. The world could use more of us.