I've discovered that when I'm truly in a character's head, I think in first person even if I'm writing in third person. Let me explain. Say I'm writing from the POV of Joan and something bad happens to her. I might think: I can't believe this happening, not after all I've gone through to get this far. If I happen to be writing in third person, it might appear on the page as, Joan couldn't believe this was happening, not after all she'd gone through to get this far. Alternatively, it might also appear on page as thought: I can't believe this is happening, thought Joan. . . .
The downside of this technique is that sometimes I forget what I'm doing and start writing in first person. I have to go back and change it. But, for me, the upside is worth it. It allows me to remove one more barrier between author and character and (hopefully) give my writing a greater impact.