I've had quite a few, generally in the "seeing/hearing things" category... pretty sure I've mentioned some over at The Escapist.
Latest that comes to mind was not really mine but my brother's. Our grandmother had been ill for a while, and one morning, my mother got a call from the hospital, letting us know that she had passed away during the night.
Now, he hadn't heard anything about that when we all got together at lunch time, and before either of us had the chance of telling him, he goes, "you know, I had this most vivid dream last night; I was talking to grandpa, back at the living room of our old house, and he was commenting on how much I'd grown since he'd last seen me, that kinda stuff."
(Bear in mind, our grandfather had been dead for some 15 years at that point, and the house in question hadn't existed for some 5.)
"Then you (mother) and father walked in, and he went and talked to you for a while, and he seemed to grow younger as he did, as he may have looked back when you first met him. Finally, grandma came in, and she was looking pretty dejected, not really saying anything to anyone. Then he went to her, and they both talked a bit, excused themselves, and left."
He looked at me and mother and, being somewhat of a skeptic himself, said, "I know you two believe that kinda stuff, so if you think that's an omen, or something..."