I've been noticing the same thing happening to me over the last 5 years or so. I can distinctly remember different "Dream worlds" which I see in different dreams sometimes months apart.
At the end of one of my dreams which seemed to last for days (I get those pretty often), I was driving my super-truck through my dream neighborhood that I've never seen before in real life. I pulled into my driveway to my house that I've never seen before, and slipped on a skateboard behind me, fell on my head, then woke up in real life. The rest of the dream was actually pretty interesting, and I could remember a good bit of it.
Then a couple months later, I had a dream that I had woken up in a hospital. Everyone from the other dream was around me, smiling and greeting me. They said I was in a coma. When I exited the hospital, the dream world was exactly the same as last time. Even my dream house, the peoples faces, my super-truck, and the rest of the dream neighborhood.
This is just the best instance I can remember, but it has happened to me many other times, exactly how you described it. I find the concept of dreams very interesting, and would love to learn more about them.
So I guess we're not just crazy, and I think dreams should be further investigated.