Usually nothing. I Really dont Think at all when I play. The only time I really think when I play is when I'm Learning a song and putting the left hand bass line with the song. After I learn it, I can play it in my sleep. I'm not really a mechanical player.
When Playing in church with other musicians, you really gotta just let it flow. You cant be thinking too hard, cuz the song or spirit can change at the drop of a hat, and you have to be prepared to play.
But we musicians should always be thinking ahead. You dont wanna get to a certain part of a song and not be prepared for it. From an organ standpoint, I often set up the drawbars to sounds that I think I will use later in the song, so I can just switch easily. If you are playing synths, it is wise to have all your sounds set up in advance, so you dont have to search last minute. When you are playing a large pipe organ like the one in my avatar, It requires a great level of concentration.
Also when you are doing runs, sometimes, unless you are very fluent, it helps if you pay attention, so that you land on the right note at the right time. But with time you wont even have to think about stuff like that
At My home church, I had to read difficult peices of music, but I used to memorize them (my teacher used to hate that). Every time I would try to read it during service, I would mess up. Now I can play those peices without even practicing them.