Threesome — spent years fantasizing, built it up enormously in my head. The reality was logistically complicated and emotionally messy in ways I hadn't anticipated. Not bad, just very different from the fantasy.
Sex in the shower. The fantasy is hot, the reality involves cold water hitting you at the wrong angle and everything being slippery in the wrong way. Nice idea in theory.
Spontaneous sex in the car. Cramped, uncomfortable, and far less cinematic than any film makes it look. The fantasy doesn't account for real human proportions and a steering wheel being in the way.
The lesson I've taken: most fantasies are about a feeling or psychological state rather than the literal scenario. Find what feeling the fantasy gives you and you can create that in other ways that actually work.
