The Collaborative International Dictionary of English v.0.48:

Pensive \Pen"sive\, a. [F. pensif, fr. penser to think, fr. L.
   pensare to weigh, ponder, consider, v. intens. fr. pendere to
   weigh. See Pension, Poise.]
   1. Thoughtful, sober, or sad; employed in serious reflection;
      given to, or favorable to, earnest or melancholy musing.
      [1913 Webster]

            The pensive secrecy of desert cell.   --Milton.
      [1913 Webster]

            Anxious cares the pensive nymph oppressed. --Pope.
      [1913 Webster]

   2. Expressing or suggesting thoughtfulness with sadness; as,
      pensive numbers. --Prior.
      [1913 Webster]

WordNet (r) 3.0 (2006):

pensive
    adj 1: deeply or seriously thoughtful; "Byron lives on not only
           in his poetry, but also in his creation of the 'Byronic
           hero' - the persona of a brooding melancholy young man";
           [syn: brooding, broody, contemplative,
           meditative, musing, pensive, pondering,
           reflective, ruminative]
    2: showing pensive sadness; "the sensitive and wistful response
       of a poet to the gentler phases of beauty" [syn: pensive,
       wistful]

Moby Thesaurus II by Grady Ward, 1.0:

82 Moby Thesaurus words for "pensive":
   absent, absentminded, absorbed, abstracted, atrabiliar,
   atrabilious, bemused, blue, brooding, castle-building, cogitative,
   cognitive, concentrating, concentrative, conceptive, conceptual,
   conceptualized, contemplating, contemplative, daydreaming,
   daydreamy, deliberating, deliberative, dreaming, dreamy, drowsing,
   ecstatic, elsewhere, engrossed, excogitating, faraway, funky,
   grave, half-awake, ideative, in a reverie, in a trance,
   in the clouds, introspective, lost, lost in thought, meditating,
   meditative, melancholic, melancholy, mental, mooning, moonraking,
   museful, musing, napping, nodding, noetic, oblivious,
   pipe-dreaming, pondering, prehensive, preoccupied, rapt,
   reflecting, reflective, ruminant, ruminating, ruminative, sad,
   saddened, serious, sober, somewhere else, speculative, stargazing,
   taken up, thinking, thought, thoughtful, transported, tristful,
   unconscious, wistful, withdrawn, woolgathering,
   wrapped in thought