We experience affective feelings (i.e., emotions and moods) not only when we are awake but also when we are asleep — during dreaming. Despite considerable research, existing theories and empirical findings disagree about the frequency, nature, and correlates of dream affect. Although there is a large body of research on the neural basis of REM sleep, little is known about the specific neurophysiological markers for dream phenomenology, including dream affect. In this presentation, I will give an overview of recent research on (1) the frequency, valence, and phenomenological content of dream affect and how these are influenced by study methodology, (2) the neural correlates of dream affect, and (3) the continuity of affective feelings across the sleep-wake cycle. These studies show that the results and conclusions regarding dream affect are very different, even contradictory, depending on the methodology used to measure dream emotions. Findings also demonstrate cross-state continuity regarding both the phenomenology and the underlying neural processes of affective feelings. I will discuss the implications these findings have for the study of (the neural correlates of) affective experiences across the sleep-wake cycle.