Fantasies have something to do with sides to your personality which don't express themselves ordinarily. This is because they're a very intimate part of yourself, difficult to put your finger on, and only really take full shape in your imagination.
We often prefer to keep our fantasies to ourselves. They're a bit like caricatures of your personal habits - they reveal how you function, and how you get turned on. This may seem stereotyped or exaggerated, but it's difficult to understand, analyze and accept.