It depends. If we're talking a console like waiting for Oblivion to load on my Xbox 360 I just stand up, stretch a little, and sit back down.
If it's a long loading PC game, and by that I mean Sims 2, and by that I mean always Sims 2; I read a novel, go out to a bar, pick up a woman, awkwardly forget her name the next day, eventually convince her she can do worse than marrying me, have 2 kids - name one after her father, God rest his soul - and adopt a puppy, explain to the kids that sometime doggies go to Doggy Heaven before scraping the carcass off the road, discover my wife is cheating on me, divorce, reconcile, and hopefully by the time our youngest has graduated high school I can sit down to the Sims 2 for a simulated life experience.