Actually, you know you dream every night, only most of the times you can't remember it.
Anyways, most dreams, no matter who's they are, are extremely weird. My dreams are no different. I remember one time I dreamed that there was a huge meteor storm, and earth was being destroyed. I've also had plenty of the "falling" dreams, where you jolt awake just before you hit. One variation of that though, which ties in with Zelda a bit, was where I dreamed I was Adult Link in the Snowhead Temple of Majora's Mask. I had to jump onto a very narrow platform, but I was a little short, so I ended up hanging from one hand above a huge gap. And then, of course, I fell, and awoke startled. I guess I played too much N64 that day.