Do you ever feel like you're in a movie?

Both last night and this morning, as I was walking to and from the train station and my house, I had that familiar feeling of being in a movie. This was mostly due to the fact that I had my iPod on and was listening to some appropriately night/morning music. I felt like somewhere out there there was a camera filming me and that the music wasn't just in my ears and in my head, but surrounding me entirely.
I find that this sort of thing usually happens when I am walking. My mind seems to float away for a little bit and it imagines that I am in the middle of some pre-constructed reality. Maybe it's just me, but I bet not.