If you don't know the answer to this question yourself, you've got some work to do. Women's sexual response is rather more complicated than men's. Sure, it's easy for YOU to know what YOU want - but not for him. You've got to drop your guard a little and let him in on the secret. Again, you don't need to be concerned by what you say - he's probably going to be really into anything you come up with.
Men are almost always willing to try new things.
Most men are very willing to help. 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.