oh you dream... trust me. maybe you just don't remember them. If you're woken during REM, you'll remember what you were dreaming about. (lol, I just had a psych. test on this).
You dream every night once you hit REM sleep... it's just a lot of people don't remember them... I sure don't (unless, like prism suggested, I wake up during/shortly after REM). It's been a while since I've looked into this, but there are some things you can do to try remember your dreams, things like not going to sleep when overtired (i.e.. not letting yourself get overtired), and other things like that. Do a search for "lucid dreaming" (being able to control your dreams) and you should find most of the sites will offer info on being able to remember your dreams (after all, no point in being able to lucid dream if you can't remember the dreams )