I almost always dream I am my biological sex, or ambiguous sex. I can't ever really physically tell, it's more of an aura that tells me whether I'm male, female, or otherwise.
I think my brain is far too aware of my situation, because even though I mostly dream I am female, I'm almost always aware that I'm transgender as well. In waking life, I always consider myself male, but I'm also overly aware of the fact I'm trans, so I think that part carries over into my dreams, and my dreams recreate real life for me instead of giving me a dream of being male like I've always wanted. >_>