As far as I understand dreaming helps to process your day on many levels, experiences thoughts, emotions etc.

Definitely had some lucid dreams, sometimes I only know when I wake up. Other times I was in some sort of semi nightmare but knew it wasn't real and could wake myself up when I wanted to.

I've also experienced a state where I knew I was dreaming and decided I liked it and wanted to explore what would happen next. At times this failed and I woke up but other times I was able to stay in the dream, often resulting in a loss of the conscious thought that I was in a dream. So interesting when you think about it :-)