I’d say it’s pretty normal and harmless to talk to yourself . . . until you start getting answers at least. Then you might have a problem.
I know tennis players who pump themselves up by talking to themselves: “C’mon Andy!” Good constructive self pep talk. Others, on the other hand, will swear at themselves: “Goddammit, Andy! You’re a real jerk!” Not so constructive.
I think most people do it and a few just won’t admit it.
When my brother lived at home, he used to pace around in his room and whisper to himself all the time. I’ve seen my parents do it, too, so maybe it’s genetic. 
I’ve also noticed this phenomenon among English professors (like me). It starts when you’re in undergrad or grad school and you are rolling theories around in your head all the time. Soon you start muttering to yourself in the parking lot and in the car, and when you become a teacher you do it out loud without even thinking about it or worrying about who is going to hear you.
IANAPsychologist, but I consider the phenomenon quite normal–even useful. Stop a moment and consider the thoughts going on in your mind at present. It’s kind of a jumble, isn’t it? People often (I’m tempted to say always, barring trance states) have multiple lines of thought running around in their brains at once. Speaking the thoughts aloud serves to isolate and clarify them–most thoughts don’t really fit into words well until they reach subvocalization at least. Sometimes it can even bring something to our attention that we didn’t realize was concerning us.
Even arguing with yourself can be good (as long as you’re not a sore loser). It’s a useful way to prepare for a debate with someone else, especially if you’re a good Devil’s Advocate; you can hear which points sound weak, adjust your phrasing, and prepare to keep your temper in check if the argument is over a volatile issue.
Ahem, rationalizations aside…
Yes, I talk to myself, particularly when I’m doing any kind of intense mental work. My friends complain when I’m working on anything mathematical with them, because I mutter continuously, just a little too fast for them to follow. Fortunately, they usually think that I’m explaining things for their benefit as I go along. 
I can’t hear myself talking to myself, so sometimes I have to write messages to myself.
It’s not crazy if you’re holding a cell phone to your head. It can be one of those that kids get candy in…doesn’t have to be real.
Also good if you have a pet or a doll wrapped up in a stroller so that it looks like you’re talking to a baby.
-L
-----ALL RIGHT DAMHNA!!!--------
It’s not crazy to talk to yourself…
If you’re talking to yourself and think you’re talking to someone else who happens to be invisible, then it’s time to see a doctor.
(B.A. Psychology)
Sometimes I will be watching TV or reading and, as a reaction to what I hear or see, I will form a conclusion that is so pithy, so relevant and so astoundingly important that dammit, it’s my duty to SHARE IT WITH THE WORLD! So I will verbalize, even if I’m the only person in the room. It’s almost like the thought doesn’t count unless I say it aloud.
Or you can tell 'em what I tell 'em:
“Hey, it’s better than talking to people who aren’t there…”
Been there done that.
I have also carried conversations as well as arguments (although I have never lost) and talk to inanimate objects.
No of course its not wierd, with all those strange people in the world, this is how I stay sane 
Lonnie Athens, PhD has proposed the idea of a “Phantom Community”:
Phantom community: A multiple but unified voice and sounding board for interpreting and making sense of social experiences. It is the individual’s recollection of the implicit and explicit teaching of the individual’s primary group(s) regarding interacting in and responding to various situations.
You know how when you consider doing something, and then recall “They say that this would be the best way of going about it…” The “they” is your phantom community.
This comes from Richard Rhodes “Why They Kill”. It’s a pretty good book.