I've recently found that my utility function valued personal status and fame a whole lot more than I thought it did -- I previously had thought that it mostly relied on the consequences of my actions for other sentiences, but it turned out I was wrong. Obviously, this is a valuable insight -- I definitely want to know what my current utility function is; from there, I can decide whether I should change my actions or my utility function if the two aren't coordinated.
I did this by imagining how I would feel if I found out certain things. For example, how would I feel if everyone else was also trying to save the world? The emotional response I had was sort of a hollow feeling in the pit of my stomach, like I was a really mediocre being. This obviously wasn't a result of calculating that the marginal utility of my actions would be a whole lot lower in this hypothetical world (and so I should go do something else); instead, it was the fact that me trying to save the world didn't make me special any more -- I wouldn't stand out, in this sort of world.
(Epilogue: I decided that I hadn't done a good enough job programming my brain and am attempting to modify my utility function to rely on the world actually getting saved.)
Discussion: What other hypotheticals are useful?