I have always liked my parent's approach to "I'm bored". I wasn't afraid to say I was bored; I just knew that they'd tell me "Being bored is a choice. Find something to do." and refuse to help me.

As a result, I have never been bored for more than about 5 minutes at a time for nearly a decade. (well, besides classes. But even then I don't think of myself as bored)