I've run several dream sequences, usually via notes to the player in questions regarding what was in the dream. The best DM-dream trick, however, at least in a small group, is to notify the other players before game that they will be entering a dream sequence upon the next incidence of waking up & not to tell the player in question while they participate. Then run a dream sequence like a normal game until you say the magic words: "And then, -insert name here- wakes up."
This is usually most effective when something dramatically tragic happens - like the rest of the party dying.
Otherwise, one-on-one dream sequence roleplay works when you don't want to totally control the dream (always go into another room), and notes work when the dream must be completely controlled by the DM.