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A fantasy is a situation imagined by an individual or group that has no basis in reality but expresses certain desires or aims on the part of its creator. Fantasies sometimes involve situations which are impossible (such as the existence of magic powers) or highly unlikely; or they may be more realistic (Wikipedia).
Blade Runner: The Final Cut (2-Disc Special Edition) [DVD]  is a good example of a ‘fantasy world’ and this book by Freud can give you more information about his work on Dreams The Interpretation of Dreams (Wordsworth Classics of World Literature). This book How to Read Lacan is a good introduction to the often complex work of Jacque Lacan.