I rarely remember my dreams, but when I do, they're usually the sort of dream where something really amazingly cool happens and it makes me incredibly happy and I live happily ever after. It's always just realistic enough that, for a few seconds after waking, I think it really happened. But then I realize it was just a dream, and I realize I'm not living happily ever after, and I realize that I have to go to fucking work.
I would prefer nightmares. Really. At least then my real life would be less depressing.