REM sleep?

I was wondering because I dream every night and I remember the dream. However, they are not extremely vivid as they should be during REM sleep, or maybe I'm just confused. For example today I was dreaming that I was in a pool and I remember saying that I was freezing. However, I can't exactly recall if I actually felt cold. I do remember a lot of it though. Do people only remember their dreams when they are on REM sleep? I know every one dreams every night they just can't remember them. But I remember them all. Why?