Yeah, I've had those dreams before. They seem to go in the general direction as Diddly's where I find something unexpected that I've never even heard of and then as I'm trying to search through the shelf/pegs/bins for more cool stuff, things start disappearing or changing and by the end I've got nothing.
That's when you know you've spent way too much time thinking, hunting and buying toys.
Similar question, but have you ever had sort of a premonition about a store or a mall as you're passing it? Like you hadn't planned on stopping but suddenly you get this 6th sense that you need to stop? I've done that a couple times. I was headed from NY to York, PA for the weekend and I'm screaming down RTE 81 on a Friday night and as I'm getting to Frackville, PA I suddenly had an urge to stop at the mall there. Picked up a box of the newest (at the time) Topps cards on the cheap from a hobby store and grabbed a Lego Mos Espa Podrace (7171) set for over 50% off at KB Toys. I may have even picked up something from K-Mart that night that I was after. But I really had no reason to stop there, hadn't been there in a couple years at that time but I just "felt" I needed to stop.
Anyway...toy dreams. Yep. Guilty.