Take the Bombadil dream, for example. Frodo has a dream about crossing the Sea and seeing his first sight of the Undying Lands. This was the same vision which later actually happened to him after the War of the Ring.
This could have just been a coincidence, but I think he had the dream because he was in Tom Bombadil's house. We don't actually know what Tom is, as Tolkien never gave an origin for him, but it is clear at any rate that he is something very powerful and very intergrated into the world itself.
