When I'm doing long, endurance cardio, I'm usually thinking about whatever is going on in my life at the moment. Books I'm reading, problems I'm dealing with, stuff I'm looking forward to. Sometimes I come up with great ideas or solve problems while exercising.
If I'm really on my game, I also think about my pace and my form. This is hit or miss because I'm easily distracted, but I know my form is better if I'm concentrating on it. If there are other people around, I'll frequently challenge myself to go faster than them (sometimes I win, sometimes I don't).
Like Patchmaxnala, I'm also sometime thinking about my fabulous form or how impressed everyone must be with my intensity (also all in my head

). But once those endorphins kick in, I feel really good about myself. It makes me feel like I can do anything and I have remarkably positive thoughts about myself. It's a zen-like state. I never get that effect with weight lifting, but I frequently achieve it with cardio. I imagine it's the way some people feel when they do yoga (which never does anything for me).