Then I got a phone call... and answered it by logging onto the forum. Somehow it was all voice chat. Someone informed me that Shego had taken my fiancee and would not be giving her back. There was even an audio of Shego laughing maniacally--it wasn't actually Shego, it was some cartoon, but in the dream, it was Shego's laugh.
Not once in the dream did it occur to me to call the police or anything. Instead I started searching the apartment for something Shego would want to trade back for Julie, and how to convince Julie to come back. Then my alarm woke me up for work.