Various things depending on what's going on.
If it's a good crowd, mostly just lost in the moment and everything is on autopilot.
If it's a slow night when we started at 9, at 10 I'm thinking "It's only 10?..."
If it's a new song I'm thinking about the changes, hooks, staying in the groove with the drummer until that certain things become locked in...that's when I free up and start embellishing more, and then stop thinking much and just feeling it.
If it's a song we've played a thousand times, all the time.... I'm thinking I wish we'd lose this song... but play it like I love it...
If the BL is having trouble coming up with songs, even while I'm playing I'm thinking up something to help us get to the next song... yes a set list would be great...
While not actually while I'm playing, the BL is thinking up a song, I'm thinking I wish he would tell me what we are about to do... He usually hits a few notes on his guitar that sound like something in the song, the drummer counts off and I hope I didn't misInterpret the clue.
Sometimes he does turn to the other side of the stage and say something, then I hear a count and I think "what?, wait? what?
Then after those split seconds of figuring out what we're doing and getting in the song without much damage, and the BL looking at me like it's my fault... I'm thinking "Not my fault..." LOL!