This happens a lot...the Tibetan Buddhists say that when you're dreaming/sleeping, you're in the "between place" between lives that is. You can actually get a hint of what the death state is like when dreaming. But when you wake, life rushes back in and your living consciousness takes over, a state that is in some ways the opposite of your dreaming state. I would advise you to get in the habit of thinking about your dreams as soon as you wake, and you can keep a notebook by your bed to jot down the basic ideas, keywords, etc.
This is no idle pursuit. By remembering your dreams, you can learn a lot about yourself and improve your waking life. Your subconscious knows more about you than your conscious mind does, and can express your hopes and fears in a very inspiring way.