The fact that your husband has come to you with this is a great sign of your relationship. I would continue to have open conversations about it and if you are uncomfortable, then never do anything you are uncomfortable with. Perhaps you both can reach some sort of compromise with maybe video taping you both having sex and letting him watch it. When his desires start causing stress in the relationship, then I would recommend counseling, which you said he has refused. If he really wants an answer to this and if he really feels strongly about your marriage, maybe he will reconsider. I know it can be an embarrassing subject, but if he can get past that part of it, it can really be beneficial for him to speak to someone face to face. Sexual fantasies are completely normal and healthy. It's when they spill into the real world and it makes others uncomfortable, that it becomes an issue. If you have self esteem issues, I would recommend that you not do this.
You can GOogle the term "Paraphilia" if you want some insight into more extreme cases of what you are talking about. There is also a book called "Private Thoughts: Exploring the Power of Women's sexual fantasies" by Wendy Maltz.. Even though it talks about womens fantasies, it has some interesting chapters about the differences between men and women and their fantasies. It's available on Amazon. If you Google Wendy Maltz, she can be a good recourse for this type of behavior.