The good folks at the University of Pittsburgh have concluded a study which investigated the effects of "zoning out" while reading. Their findings:

The readers who zoned out most tended to do the worst on tests of reading comprehension — a significant, if not surprising, result. The study also suggested that zoning out caused the poor test results, as opposed to other possible factors, such as the complexity of the text or the task.

There is also, apparently, another study going on at Pitt dealing with the effects of zoning out while coaching...