Another thing I've always wanted to do if I was financially independent is to pick a really important problem without any obvious incremental solution and work on it. Very unlikely to solve it, but it was be very satisfying to work on something without the pressure of turning a profit from it.

Maybe cancer, global warming, Riemann Hypothesis, etc. Again, obviously very unlikely to be able to make any real progress on these, but I personally find it attractive to work on something big.