I'm not sure I should admit this, but I've had them all my life. Now these aren't the kind of imaginary friends that I believe are real. I know they are imaginary. Usually, these creations have been shared between me and a close friends. We talk in their voices, make up stories about them, etc.
My closest friend for many years now is my wife, and we have a whole pantheon of imaginary friends. Some of them have been "alive" for so long now that they seem like real people. We are very emotionally invested in them, and when we talk to each other on the phone, we often ask to speak to the characters too.
As I'm nearing 40, I doubt this trend will ever end. I'm not worried about it or anything. It's harmless, really fun, and it brings us closer together. It gives us a mythology that's shared by us alone (which is why I won't go into any details about the imaginary friends, except to say that one is a dinosaur that lives in our bed).
But I am curious as to whether other adults do this too. The only other case I know of was recently exposed on an episode of This American Life about two grownup sisters who have an imaginary duck called Duki.
http://www.thislife.org/pages/archives/archive03.html (search on the page for Duki)