Then REM occurs, which is the state in which dreams mainly happen, you have four depths of sleeping basically and at certain stages you get into REM. Stage 1 sleep is where you believe you are awake, but your not basically, stage two is when you become unconcious but are easily awakened, stage 3 is like a transitional stage and stage 4 is the deepest stage of sleep. It is hard to be awoken from stage 4 sleep so sleepwalkers are usually in stage 4. Dreams do occur in most of the stages but not very often, stage 4 has the highest figures (apart from REM). Because you cant comprehend death, what would happen in the dream say after you died?