If we have deep urges to do certain things, they are highly likely to come out in our dreams - where our consciences cannot prevent them happening.

The mind has something called a 'dream censor', which tends to 'clean up' dreams.

So, if a person who has a very strict puritanical outlook starts to have a sexy dream, their dream censor may alter that dream so that very 'rude' things are replaced by symbols.

Thus, a man of strict sexual morals may have a deep, unconscious desire to have sex with beautiful women. Instead of dreaming about vaginas, he will keep dreaming about tunnels and subways. Instead of dreaming about breasts he will dream about pleasant hillocks and mounds - and so on.

Similarly, a woman whose sexual morality is very strict won't dream of penises. Instead, she'll dream of penile symbols, like church spires, rockets, cigars or tall chimneys.

However, this kind of 'dream symbolism' seems to be less common than it used to be. People are less 'hung up' than they were a generation or so ago - which is why they tend to dream about explicit sex, rather than symbols.

Physiologically sex in dreams also causes the same reactions to the body as sex in real life. Respiration increases, blood flow increases, and muscles contract.
Like analyzing regular dreams, studying your sex dreams can also give you great insight into your existing sexual relationships. Your sex dream may have layers of meaning. It might reflect your body's need and desire for sex but at the same time, aspects of the dream might have deeper meaning as well.
Perhaps the most revealing thing to think about when remembering your sex dreams is the emotion you feel or felt upon wakening. Forgotten traumatic memories of real life events can sometimes be trying to get to the surface in the form of dreams or nightmares.
Thank goodness most of our sex dreams are simply exciting and fun ways our body’s deal with our sexual desires. It’s completely healthy to have these erotic dreams and nothing to feel embarrassed about, unless of course you unexpectedly bump into someone from your dreams when you’re least expecting it!

If you want to try to analyze some of your dreams why not check out the links below. It’s so interesting but beware, it can become addictive too!

nicking text from:
http://www.netdoctor.co.uk/sex_relationships/facts/sexualdreams.htm
http://www.dreamsnightmares.com/sexdreams.html