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Fantasies are daydreams of a sexual nature. Almost everybody fantasizes at some level, sexual or non-sexual. It’s a fundamental part of human nature. You can see the full power of daydreaming in children - their innocence allows them to get lost in a world of their own. When children turn into adults, these fantasies tend to get suppressed. This is why not all adults are comfortable sharing their sexual fantasies, let alone acting on them.
Personal taste plays a vital role in sexual fantasies. Still, many people are uncomfortable having them, mostly because they fear the reaction of others when revealing that they get turned on by things that may seem unacceptable to many.
Another essential thing about sexual fantasies is their connection to our unconscious mind. A good example is having fantasies of passiveness or submissiveness, which may be connected to a desire to experience sexual arousal and satisfaction with little or absolutely no personal responsibility.
But the root of it all is this - sexual fantasies are secret places where we can act out things that we are unlikely or never do in real life. One may fantasize about having sex with a stranger in a public place, but it doesn’t mean they can do it in real life. And sometimes, we get turned on precisely because of that - they’re not real.