Yeh, my two dogs sleep with me every night.
Skylar isn't allowed to, mainly because he won't "hold it" until morning, and the second part is that he has a high prey drive, I can't trust him around ANY of my smaller animals.
The cats aren't allowed in my room at night for the same reason. They seem to not want to bother the guinea pigs (the only animals without a top on their cage), but they put too much stress on the small animals, so I don't even allow them in my room unless under strict supervision.