I want to know what exactly are the fantasies.

Different things to different people

Are those the things that one just thinks about or one wants or makes them come true.

Mostly the former. Although generally speaking men would like them to come true, women are more afraid of longer term consequences

This man I know constantly says he wants to have sex in front of third person watching. Now what is this all about? It doesn't matter if the 3rd person is male or female. And again he says it is just a fantasy and not necessary if it comes true or no.

A common fanstasy for men. (Although I think slightly more common is watching his wife / partner with another woman and him being a spectator)

Anyways, fantasies can add spice to your sex life if you go in with an open mind and are comfortable with them