The Sopranos/The Melfi Erotic Dreams
In the first of the two dreams, Tony is lying in bed next to Carmela, when suddenly he is transported to the same bedroom, but his sheets are black silk, the room is surrounded by candles, and he is being fellated by a woman under the sheets. Tony grins and lipsynchs to the song "What Time Is It" by the Jive Five. As he reaches the lyrics, "It's time for love," he also reaches climax. The woman under the sheets speaks with his Russian goomar Irina's voice and accent as she asks, "How was it, baby?" He tells her, "The best. You are the best." But when he pulls the sheets back, he sees it is Dr. Melfi, although she still has Irina's voice when she says, "Tony, I love your cannoli."
In the second dream, Tony is urinating in his home bathroom when he hears the shower next to the toilet. He glances over to see the figure of a naked woman through the frosted glass doors. The shower stops, the shower door opens, and he sees Melfi. She glances down at where Tony's penis would be, smirks and purrs, "Mr. Soprano."
What, do you need it spelled out for you?
Actually, it may not be so obvious. Tony certainly interprets the dreams at face value in this episode and assumes he is having sexual feelings for Dr. Melfi—and only Melfi, as neither Carmela nor Irina are able to arouse him. He asks Irina to dress like Melfi, but she refuses. He even professes his love for Melfi.
However, Melfi suggests Tony's feeling of sexual attraction may have nothing to do with her personally. She points out that because her job is to be gentle and to listen, and because she's an Italian woman like his wife, mother and daughter, he is projecting onto her traits he finds lacking in the other women in his life. (It's worth noting Melfi does not yet know about Tony's Russian goomar.)
Indeed, in the dreams, Melfi stands in for both Carmela and Irina, both of whom Tony clashes with in this episode. Also, the fact that he urinates in front of her in the second dream suggests a level of intimacy and familiarity one would more commonly associate with a wife or a girlfriend than a one-night stand (although she does call him "Mr. Soprano," not "Tony" or even "Anthony," as she calls him in "real life" when he tries to kiss her later).
Further, Tony angrily rejects the notion that he has sexual feelings toward his mother. However, it should be noted that in The Therapy Dream from episode 1x04 - Meadowlands, the dream started with Tony ogling Melfi sexually, but it ended with Tony turning a woman dressed as Melfi around to find his mother Livia's face, just as Tony is shocked to find Melfi's face on a woman he assumes to be Irina in the first erotic dream in this episode.
On a final note for this and other dreams from Season One, Irina/Melfi refers to Tony's penis in the oral sex dream as a "cannoli," thereby reinforcing and underscoring the dream association of phallically-shaped foods with literal penises, as seen in The Emil Kolar Dream from episode 1x08 - The Legend of Tennessee Moltisanti and The Isabella Hallucinations from episode 1x12 - Isabella.