I got this information from this website
http://psychology.about.com/od/statesofconsciousness/a/SleepStages.htm
There are Five stages of sleep
The first stage is the beginning of the sleep cycle, and is a relatively light stage of sleep. There are periods wakefulness and sleep. In this stage the brain produces high amplitude theta waves, these are slow brain waves. This sleep period is very short maybe only 5 to 10 minutes long.
The second stage of sleep and lasts for approximately 20 minutes. The brain begins to produce bursts of rapid, rhythmic brain wave activity known as Sleep Spindles. In this stage the body temperature starts to decrease and heart rate begins to slow.
Stage 3 in when deep sleep occurs and slow brain waves known as delta waves begin to emerge during this stage of sleep. This is the transitional period between light sleep and a very deep sleep.
Stage 4 is sometimes referred to as delta sleep because of the slow brain waves known as delta waves that occur during this time. Stage 4 is a deep sleep that lasts for approximately 30 minutes. Bed-wetting and sleepwalking are most likely to occur at the end of stage 4 sleep.
Stage 5 is when dreaming stats to take place. This stage is also known as the REM Stage and is characterized by eye movement, increased respiration rate and increased brain activity. Dreaming occurs due because of increased brain activity, but voluntary muscles become paralyzed.
However sleep does not progress through these stages in sequence. It begins in stage 1 and cycles through 2, 3 and 4 before endering stage 5 (REM sleep) stage 2-4 are repeated. And once REM is over your body usually returns to stage 2. Your body cycles through these stages about 4 to 5 times during the night.