During the BBC program on consciousness, a number of subtopics on consciousness were discussed, including a brief description of where consciousness may actually reside, physically, within the brain. One part of the brain, the Thalamus, is something of a relay station for sensory information; all senses (aside from olfactory) have a Thalamic nucleus, that is, all senses have their information routed through the Thalamus at some point. When Marcus de Sautoy attempts to locate consciousness within the brain by asking one of the researchers, the researcher tells him about the Thalamic loop, which consists of sensory information being distributed to parts of the brain for processing, and then being rerouted back into the Thalamus. If there was a part of the brain that was directly linked to conscious thought, this would likely be it.
This picture is of an fMRI taken of Marcus while in a dreamlike or semiconscious state. He is imagining playing tennis.
Notice that the Thalamus doesn't particularly display much activity.