Amelie. She has a few daydreams in the films. Also maybe Alice in wonderland but I think she may of been dreaming and not daydreaming. There are quite a few films with dd or a persons fantasy sequences in (I was going to add the youtube links but the ones I know of were a bit violent), but I can't think of any films only about a daydreamer.
Terry Gilliam plays around with the idea of the reality of someone's life vs their fantasies of it quite a bit. I'd say Fisher King is the one that is most directly about this, but also Adventures of Baron Munchausen and Imaginarium of Dr Parnassus are about this to a certain extent. Gilliam loves Don Quixote, and of course that story is the ultimate dreaming your life away novel.
Edited to add: none of those are directly about daydreaming, but I think they hit a lot of the same notes.