Throughout our sleep we are thinking or dreaming and yet upon awakening we tend to forget most of it. Something about the way the brain/mind functions during sleep makes recall difficult.
Dreams are basically your brain thinking while your body sleeps (subconscious). It's usually a mix up of all your thoughts, concerns, and late experiences- which is why a dream sometimes reminds you of something you forgot - like a review of a movie you saw. You can't remember your dreams because they are less of an experience than they are a thought. You only dream at a certain level of sleep, but your dreams can still last several hours. You forget your thoughts when you sleep just as fast as you do when you're awake. Most remembered dreaming occurs during a phase of sleep called Rapid Eye Movement (REM) sleep, which occurs about every hour-and-a-half.