I brought this up some time ago on The RPG Site (I think), and it seems I'm one of the few that does it: Playing RPGs by yourself.
It's a simple idea. You pick out a game, you roll up a character, and then you think up a scenario. You place the character in that scenario, and you start playing, acting as both GM and PC. You make decisions, roll dice, and see what happens.
OK, so it's not everyone's cup of tea, but I have a lot of fun with it. It's something I do before I fall asleep, or during lunch at work, just to entertain myself. It has two benefits: One, that I'm refreshing myself on some rules and stuff; and the other, that I get to have some improvisational fun.
And, yes, it IS full of surprises. Look, it's a spontaneous creative exercise combined with random determination of events; you never know what you're going to think up, and you never know what you're going to roll.
Random encounter charts are swell for this. In fact, check this out: there's a document called Travelling Alone which is designed for JUST this sort of thing. It acts as an impartial, randomized GM in that it sets up patron encounters, random encounters, flow of events, etc. It's open for interpretation by the solo player, however, which explains how I used it to play through a story about a guy who was being sought by the police in connection with a murder they couldn't solve (he was the last one seen with the victim) while he was busy being duped by a hotel manager who was using him as a mule to smuggle state secrets to a rival world.
I really like Travelling Alone, but truth be told, you can get by without. Hell, you're the GM; set up whatever situation you want. I once rolled up a T&T rogue, assumed that he was in a plaza full of people, thought up 3 potential theft targets of varying difficulties, and started rolling, picturing the action in my head. The rich girls shopping for silks weren't as easy as they seemed, because there were 3 of them and I decided that would increase the difficulty of his "sneaky-sneaky" rolls.
I kinda didn't see it coming.
Oh, by the way. If you try this out, take notes! Reuse them later in a group game. Who's gonna know?