Why not say so - but do it in a sensitive, caring way with the goal of improving your sex life. I have a friend that that had a fantasy about being a slave girl on a ship. When you tell him about yours, don't set the bar too high. Some women's fantasies are quite complex, involving props, sets, lighting, etc. You may have to help him along.
Oral sex is a good example.
Simply telling him you like it isn't going to get you oral the way you want it. He's likely to just dive right in. He probably doesn't understand the kind of build-up you need before getting that most intimate of kisses. Take some time and make him understand. The fact is, almost everyone fantasizes - and does so regularly.