Aragorn thought of his wedding night with Arwen. Of cleaving to her, most beautiful and wise, and of her cleaving to him. He thought of nights spent together in front of the fire, King and Queen of Gondor and Arnor. He smiled as the memory of her laugh made the night seem lighter.
Boromir dreamt of the peace that might come when he had saved his city. Of leading men, not into battle but home to the cheers of the people. Of having the strength to defeat the Darkness and so do his duty to his father and to his city.
Legolas walked in a world of dreams, singing quietly to himself when the mood took him. If his gaze fell on Gimli more often than any other of his companions, he told himself that it was reflection the friendship that was growing up between them and amazement that he should be considered Dwarf-Friend and would name a Dwarf Elf-Friend.
In Gimli's dreams veins of gold ran through the rock like locks of hair, precious jewels glittering like Elven eyes. Sometimes it was Galadrial he saw carved in beauty in the bones of the earth and other times it was Legolas whose face he saw.
Frodo did not dream because whenever he closed his eyes He was there waiting for him. The lidless eye looking out into the darkness and burning all other thoughts to ashes. It was coming for him.
Sam tried to think of Rosie, of her shy smiles and stolen kisses but every time he did he just came back to Frodo; Frodo who needed him.
Merry dreamed of leather and lace. Of satin and freshly pressed cotton. Of dressing up in his mother's shoes and gown when she was out and how good the silken material had felt next to his skin.
Pippin thought of a full stomach, pint of good beer and a good pouch of leaf. And he thought of Merry because what point there was having such things without a friend to share them with.
Gandalf did not sleep but he dreamed the universe and knew what got each of them through the night.