For me the best activity for thinking is running on a closed track. The boredom of running in circles and the need to avoid thinking about how many more circles I have to go and how much my legs are starting to hurt is a really good motivator to get absorbed in your mind and work through stuff.

Driving a car at night comes as a close second, but without the added benefits of exercise.

Long train journeys are also surprisingly effective, as I've recently found out.