Well... I prefer to ride with others, so we talk a lot.
When I'm on my own, I look at the scenery, but mostly I focus on training. If I'm doing intervals, I'll entertain myself by keeping to the program and see how far I can redline my HR. If I'm doing sprints, I'll set certain speed goals and see if I can meet them. If I'm doing climbs... well, I don't usually have much on my mind with my HR redlining for 15 minutes and my eyes bulging out of my head.
Basically, it's a matter of setting goals for yourself, making a game of it.