This is something that I do rather frequently in my dreams, and I never really thought about it until my friends told me they never did.
It's not really something that stands out or happens with a lot of fanfare. It just sorta happens... like I'll start the dream as a female and end it as a male without any exact realization during the dream that it happened. I'll just wake up and know that at one point I was one gender and at another I was the other gender. I became interested when I brought it up in a class and no one could say they had similar dream experiences.
Does this happen to anyone else in their dreams?