I normally try and do "fun" work. This largely depends on how autonomous your job is. I was a PhD student doing research for a company and I received very little oversight for 3 years.

The supervision I did receive was great though. They understood needing to take a break and slow down. At those point I would generally read papers, watch PyData talks (highly recommend them, like inspirational ted talks for data people), or contribute to open source to learn about new tools or design paradigms.