Except when in a combat situation I don't know that I have ever felt threatened enough to sleep with my gun. I have catnapped while having my rifle slung or while wearing a handgun but other than that the firearm is placed next to the bed.
I cannot even imagine sleeping with a loaded firearm in my hand, on my chest or under the pillow. I move around to much at night, wake up to a cat sitting on my head or a kid crawling in bed with us. On/in the nightstand is close enough.