It rarely happens, but there are few pieces which give me sone very strong, clear mental pictures. Sometimes, just a certain section of a piece will put a picture in my head, while the rest of the piece doesn't affect me in that manner.
It's quite exciting to me when something like this happens in a genuine way. One should be careful, though, not to impose a picture or story on a particular piece. On that note, I think there is some danger in finding out a "program" behind a particular piece if you aren't already settled on one. For example, if I tried playing the Brahms c# minor intermezzo with a nervous astronaut in mind, I think I'd play a great deal worse than if I played it by just allowing the music to be what I instinctively feel it to be (unless, of course, I instinctively thought about astronauts while I played the piece).
Rachmaninoff's D minor etude (33-4), Rachmaninoff's B minor prelude (32-10), and Ravel's Jeux D'eau are the only peices I can think of that have given me very strong mental pictures (and sounds and smells, in the case of the B minor prelude).
For those who never experienced anything like this before, I liken it to having a dream while still awake and at the keyboard. And it doesn't always happen when I play the aforementioned pieces - only when I'm particularly concentrating and engaged in the music.