In my experience, normal dogs like to lay near you. On TOP of the blankets. Emma thinks that that is ridiculous. If there's a blanket, she wants to be under it.
When we let her upstairs in our room (usually on Saturday mornings, when the kids are downstairs but we're sleeping in a bit), she sleeps happily between us, down by our feet...under the covers. When i'm sitting in my chair with a blanket on my lap, she'll shove her way under the blanket, usually pulling it off my lap in the process.
My favorite, though, is the one that's become a routine. If i grab my favorite blanket and a couple of pillows, she'll run over and sit down next to the wall, waiting, because she knows that i'm going to come over there and lie down by the heater. It's the only way to get really warm in this long, cold winter. I used to try to convince her to lay on top of the blanket, but i've succumbed to the inevitable, and now she lies between me and the heater, in the best spot.
I can only assume that she is like me and really, really hates being cold.