Ah, Shounen-ai... 

I think I have a card of that scene somewhere... 
I forget which episode... oh wait it wasn't an 
episode, it was an eyecatch!  Yeah, that eyecatch 
always made me paranoid about Zel and Gourry.  
*cof cof*  Well... they do have so much in 
common... what with the cross dressing and 
fearing Lina and all.  

Personally, I think he's dreaming about becoming 
a villain.  He loved being called a mysterious 
cold-hearted swordsman way too much.  heehee.