The majority of people feel guilty or ashamed about having sexual fantasies.
Men won’t admit to fantasies and self love sessions. They would have you believe
they are doing ‘the real thing.’ Women are most likely to feel uneasy about
fantasies that involve someone other than her steady partner, or someone they
consider “inappropriate” for instance, a relative, someone much
younger or older, or someone of the same sex.

In most cases, the things we fantasize about are not necessarily things we
would choose to act on. In fact, people frequently don’t wish to act on the
fantasies they have. Fantasizing about sexual situations, including those that
are unusual or extreme, is “a safe way to experience and explore our erotic
feelings in all their infinite variety.”

For example: Many women have “rape” fantasies, in which they are
sexually overtaken by an unknown man. In this type of fantasy, a woman
imagines that the man is so taken with her, he has to have her. But, in no
way does having such a fantasy mean that a woman wants to be violently raped in
real life. Indeed, when a woman has a “rape” fantasy, she is
actually controlling the conditions of the encounter in her mind. This safe and
idealized fantasy of sexually submitting to a powerful stranger is a far cry
from the trauma of actual rape.
Similarly, most men who fantasize about sexually overpowering a woman are not would-be rapists. Guys fantasize about being in a room with several females. He neverfails to satisfy each one in turn.

Virtually everyone fantasizes about sex, whether they are male or female,
young or older, married or single, sexually frustrated or sexually happy. But
the content and nature of sexual fantasies vary tremendously. You may fantasize
about sex with a “generic” sex partner - faceless and anonymous. Just
as likely, the object of your fantasies is someone real: an attractive stranger
glimpsed on the street, a friend or acquaintance, a celebrity, a former lover or
a relative. Even your own spouse or current lover.

Some fantasies are extended sexual scenarios, filled with elaborate
details. Others are quite spare. You may, for instance, just imagine one act - a
kiss, oral sex, or intercourse - or one feeling, such as orgasm.

While fantasies can, and do, take place without the accompaniment of
sexual activity, both sexes often engage in fantasy while masturbating or during
sex with a partner. Some people vary the fantasies they have. Some have a
favorite fantasy (or two or three) that they rely on to get aroused and reach
orgasm.

Is It Okay to Fantasize?

I agree with most  therapists, engaging in sexual fantasy is a harmless
pleasure. It boosts sexual arousal and makes people feel good.  Even though
we’re not likely to ever have sex with fourteen Playboy or Playgirl models, it
can feel very good to imagine doing so. Fantasizing, and sharing sexual
fantasies, can also add excitement to a couple’s sex life. Only a very few
couples seek to fulfill their fantasy.