My mind usually goes into passion and lust overdrive during sex. Thoughts range from should I touch her there, do I spank her, oh she likes it when I'm on top and just tease her with my head but don't go in, so on and so forth. I'll also think about what to do next (grab her hair, go slower, change positions, spank her ass, etc.). At times I try to slow down and just ask her what she wants and not let my thoughts take over too much, but I can't say that always happens.
Also Someguy nailed it earlier... One of my biggest thoughts is "Don't fucking cum yet, don't do it, fuck hold off a little longer." So yeah, guys definitely think about that during sex.