Probably what the deal is, Orangeman, is that you simply don't remember the dreams you're having. If you're experiencing REM sleep, chances are you're having dreams. But they tend to fade away for many people once we're awake, to the degree that it almost seems like we've not had any dreams. Try setting your alarm a time or two during the night and wake up in the middle of your sleep cycle, and you probably can catch yourself dreaming.

Some neurological problems, along with some medicines, can suppress the ability to dream. But chances are you're still having dreams. You're just not remembering them after you become conscious and awake.