I have a similar experience about once a month give or take. Most of the time I'll wake up at the end of a sex dream and be able to fully enjoy the results.  Like others have said, it's a bit different from an orgasm had during real physical sexual contact, but definently an orgasm regardless. But the point is, you're not odd, and enjoy it! 
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"The world is so exquisite with so much love and moral depth, that there is no reason to deceive ourselves with pretty stories for which there’s little good evidence. Far better it seems to me, in our vulnerability, is to look death in the eye and to be grateful every day for the brief but magnificent opportunity that life provides"
-Carl Sagan
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