After the band's break-up, the sisters formed the duo Appleton and signed to Polydor Records.

[3] Producer Gareth Young sent Appleton a demo of "Fantasy" and they recorded the track at his house.

[5] It is set during a performance in a bar, interspersed with scenes of a couple kissing and later having sex, as well as a barfight which is broken up by security.

At the final pre-chorus, Natalie stage dives into the audience; originally Nicole was supposed to do it, but she chickened out at the last moment—with the excuse that they didn't put down the mattress—and her sister had to show her how it was done.

[6] There is another version of the video with an alternate ending, showing Natalie and Nicole walking down a subway after the gig discussing the fight that broke out.