Stephen LaBerge — American Psychologist

Stephen LaBerge is a psychophysiologist and a leader in the scientific study of lucid dreaming. In 1967 he received his Bachelor's Degree in mathematics. He began researching lucid dreaming for his Ph.D. in Psychophysiology at Stanford University, which he received in 1980. He developed techniques to enable himself and other researchers to enter a lucid dream state at will, most notably the MILD technique, which was necessary for many forms of dream experimentation. In 1987, he founded The Lucidity Institute, an organization that promotes research into lucid dreaming, as well as running courses for the general public on how to achieve a lucid dream... (wikipedia)

Dreams look real, but they're in your mind, so you realize that the physical world is also a construction, which shows that the mind can affect reality in more ways than you can imagine.
Lucid dreaming has considerable potential for promoting personal growth and self-development, enhancing self-confidence, improving mental and physical health, facilitating creative problem solving and helping you to progress on the path to self-mastery.
I'd say that we dream primarily the same way that we have consciousness of the world for the same reason. Basically, that our brains evolve to simulate reality and to control what's happening around us.
Not all lucid dreams are useful but they all have a sense of wonder about them. If you must sleep through a third of your life, why should you sleep through your dreams, too?
Dream research is a wonderful field. All you do is sleep for a living.