I like to unfog the map so I can watch how other wars progress, usually makes the 'waiting for war' phase a bit more interesting. I often look at the ministers of other countries (which isn't just informative but could give you the edge if it comes to war). Looking up your the stats of your currently available units is interesting too...
Another thing one can do is to look at the tech tree, tweaking your economy (efficency of trade routs, ressource flow etc.)
If nothing is left to do I usually take a sheet of paper and plan my gearing up for the next years or figure out plans how to possibly invade countries, analyze my current army / navy / airforce, look at stats....
man, there is always something to do
