As a small child, I was male when I dreamed because I thought of myself as a little boy and didn't quite understand that I...well, that other people didn't always see me that way. Then I got older and my legal sex was pushed on me by other people. I was still a boy when I dreamed, but less and less often. More and more, I had to resort to waking fantasies in which I was male. Eventually, the boy-dreams all but stopped.
Now (a year into transition and nine months after top surgery) when I dream, I'm just me--not consciously male, apparently not female. I know that I've been aware of gender in a couple of dreams in the past six months, but I don't remember the particulars.
When I have nightmares, they are about my parents or my therapist or the usual nameless threat who is chasing or attacking me. Not gender.