As for me personally, in my fantasies I become a completely different person. Sometimes it may be one of my own created characters (many of us writers are prone to getting emotionally attached to them, after all) and sometimes it will simply be myself but as I see myself from inside. Which is the opposite gender of the one I was born so in a way, quite different (yet not exactly leaving my own identity).

I have always fantasized as though I was watching myself. Though, to be honest, I have always thought in third person. Even when I day dream, I see myself in third person. When I write, I see every single character in third person. When I plot out a scene in a book, every character is in third person (I don't assume the persona of any of them). Seems natural that my fantasies would be in a similar manner.