
Why the most common reply from men is "Nothing":
One reason, ladies, that men tend to answer "nothing" often is because they feel that what they are thinking is so insignificant that it doesn't demand conversation. He thinks there is no significance about talking about the gun show this Saturday to you or the fact that he saw a monkey fling pooh at the zoo last Friday, you where not there, you will not be there, and most importantly you don't care about guns or pooh, so "nothing" becomes an easy automatic answer. Then if a woman insists to know what they are thinking, by that point what the guys was thinking was so unimportant to him that he forgot so "nothing" becomes, for the most part, a honest answer.
Now this is important for ladies to understand, no matter how unfathomable it may seem, but the most likely reason a man will answer "nothing" is because they where honestly thinking nothing. Example: a random woman sees something shiny and may start thinking about jewelry in some way, a man may see something shiny and zone out for 10 minutes. This is no joke, a man can actually go for periods of time without thinking a single thought so if their answer is "nothing" don't pester them and go on about 'well you always say that' or something like that, just let it be.
My Suggestion:
If you like asking this question as much as I, who in fact loves this question, do, turn it into more of a game. Don't ask "What are you thinking about?" ask "What is the most random thing you can think of?" It's fun because the answers are sometimes a bit more unique and you can still find out a bit more about someone as they may tend to think about things that are more familiar to them or things that they like. I like dogs and sci-fi so I may think of something like the poker playing dogs from that famous painting playing Star Trek 3D Chess instead of poker. Anyway, it's just a thought.