I rarely remember my dreams, which kinda sucks, but whenever I do remember a dream Touhou is almost always somehow involved. There's one dream in particular I had months ago that is my personal favourite:
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I'm not sure why or what happened, in fact, the dialogue between me and someone at any point and time I have NO IDEA what was said, but it isn't really important. Me, Marisa, Aya, and Momiji were at a pool, by that I mean one of those in-ground public pool things. Before going in some things were said and I patted Momiji on the head for whatever reason, I don't know. I also don't remember swimming at all, but afterwards I got out earlier than the rest so I could sneak around to the girls change room (not for what you think). I did this to scare Momiji for fun, but when I got there the door was open and I could hear Momiji and Aya arguing over something. I couldn't tell what, but Momiji came out still wearing her swimwear soaking wet and kinda sad. I asked her what's wrong and she said, "nothing, really". Then I asked if Aya was teasing her again and she looked at me shocked as if I was right on, but just said, "not exactly". Then we just walked away.
I don't remember what happened after, but then I was in a house of sorts lying on a bed. Soon someone with black hair waked into the room and pinned herself over top of me and kissed me on the cheek telling me she loved me. I took a closer look and noticed it was Aya, trying to seduce me. I was confused, obviously, and said something, not sure what, and moved her to the side looking for Momiji. I looked everywhere in the house and was about to run out the door to look when I saw Aya standing at the corner again with tears in her eyes. She uttered the words, "I'm glad." I was even more confused and just kinda went, "...what?" Then she took her HAIR off (it was a wig) revealing it was actually Momiji. She collapsed to her knees crying, and, well, I hugged her.
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It did take place in Gensokyo, from what I could tell, but most of my dreams don't take place in Gensokyo when I have them. For whatever reason a character or two will appear randomly within a dream. As you may have noticed, I didn't remember a lot, but that's normal for me ;^^ I don't think I've EVER had a NSFW dream... Key word "THINK"...