"If you can't think of anything to do, clean."
It might not be 100% transferable to your job, but the idea is still there.
The good employee is proactive. You should have something in mind to do when there is no 'work' handed to you, or if you just need a break from the 'work' you were doing. Something that benefits you AND the company, and you look that much better to management.
Are you an administrator? Look into the logs. ALL of them. Look at performance statistics. Research new technologies - and how you might implement them in you company.
Are you project-oriented only? Do you know EVERY aspect of how your company does business? Do you even really know the business? What future projects might be appropriate that can save or MAKE money for the company?
As for training, come up with a cheap hands-on system. Perhaps you are thinking of learning [OS-type]. Get a box to test it on. Get a licensed copy for evaluation.
Check out seminars in your area.
Take vacation.
Can you "work from home" during this time?
When is the last time you checked in on your old projects?
Schmooze.
There is always something to do - you have to want to not be lazy.