My daydreams are not very sad, but they're very violent. In my daydreams, I'm the queen of a large, futuristic empire in space. There have been 3 wars so far. When I daydream about the wars there's lots of graphic violence and a huge death toll. But everything turns out okay in the end. My character's empire always wins, and none of the people that died are people she knew very well. Well, she and her friends and sister ALMOST die, but they don't.
I also have a LOT of daydreams where I have to slay a monster. The monster is always 100% evil (I mean killing-people-for-fun evil), so I never feel guilty about killing it, but what has me concerned is that there's always a lot of blood and guts whenever I kill the monster (often more blood and guts than what would actually be realistic).