Shortly after seeing the Eragon movie, I used to replace the main character guy with myself. I have always fantasized myself, whether human or not, getting outcast from a group and having to prove myself to get back in. Imagine something that happened to that guy in Avatar, the one with the blue aliens, not the bald monk one. How he was sort of banished from the pack, but came back to save them anyways, even though no one wanted him. Now, mind you, this was before that movie even came out. While we are on the topic of Avatar, the other Avatar, the one with the airbender guy in it also had a very similar scene. When the firebender, I believe his name was Zuko or something, tries to join Ang's group. He was basically outlawed from the group because he had previously been trying to kill them, but now he is really trying to help them out. I used to imagine myself like that, too.
More recently, my fantasies consist of the worlds I have created in my mind. The Anthro versus Human war, in which I am human. After overcoming extreme odds, I am imprisoned by my own species because I have begun to change physically into an Anthro. After dealing with the Human cruelty against myself just because I have changed appearance, I resolve to join the anthros against the oppressing humans. But even though I look like them, they can tell I was human, and most want nothing to do with me. This fantasy is still relatively unfinished.
Another is me being in a world, a thousand years in the future, and society has totally collapsed. There is no government, so there is no protection. The whole world it seems is at war. I am in the middle, just fighting to stay alive long enough to see the sun the next day. But the Armies are the least of my problems. Toxic rain, which creates toxic rivers, supply the only water. The only easy meat to come by is a hideous little bear-like thing, which when eaten will kill you faster than you can take the next bite. Several creatures, like Shadows, Swarm, Napalm Dogs, Hunters, and Mexican Wasps, roam the area looking desperately for anything to eat. Humans are at the bottom of the food chain here. My life consists of fighting against these odds, in a depressing world where someone I know dies almost everyday.