It's happened at least two or three times that I can recall that I've come home late after a night out, gone to bed, and had dreams where I was still out. Also, the first time I lucid dreamed I was woken up by an argument on the street outside my room - I fell back asleep and had a lucid dream, and didn't realize until someone told me the next day that the fight had actually been real and it had merged seamlessly into my dream.

I think these are exceptional though - otherwise I don't think I tend to have dreams based on my experiences.