I think it’s time to address the elephant in the room. What possible reason is there that we dream, and one step further, dream lucidly? I cannot understand it. Dreaming makes no sense to me, though I do love it. Any thoughts?
Considering how big a part of ourselves we suppress during the day, it makes complete sense to me that we’d need dreams to let it come out 
When people are sleep deprived, they start hallucinating wildly, creating their world of fantasy around them, and that’s exactly what dreams do, and that we try not to IWL.
Plus it may be just my opinion, but dreams are supposed to be lucid. It just makes no sense that we’d be forced to watch a movie about ourselves every night, life is action, let me take that steering wheel already!
There’s people I know who don’t know what not being lucid is like, and it feels so right to hear them, because the opposite idea is so gross and self-defeating. How can one possibly not be in control of hirself, not responsible for hir actions?
Some believe that dreams are a way for our subconscious minds to make sense of the events that happen in our daily lives. Think of it as a psychological tool for that part of your mind to clear up some issues, to “deal” with them, as it were. They have a personal meaning that only the dreamer can interpret.
As to why we dream lucidly? In the case of non-naturals: everyone has their reasons for wanting to learn it. Just for fun, to learn, to explore, to experience, to broaden one’s horizon, practical applications. The possibilities are nearly endless.
Why it happens naturally for some people, I do not know. There’s answers to the question of “how” they do it, but the reason behind it is unclear to me, if there even is a reason. I don’t think there’s a reason for everything, nor should there be.
In fact, there is no scientific evidence on why we dream, but Freud enumerated several possibilities in his book " The Interpretation of Dreams".
One possibility is, that the dream completes “unfinished” toughts of our day.
In English this would translate into : What we see at night, are the unhappy remains, which we neglected during day time. The dream is often the payback for a mistake we commited or it is a reproach coming from relinquished beings…
or something like that.
Another theory is that dreams are wishes that our subconsciousness tries to fulfill.
For example, you got scolded by your teacher, because you didn’t study enough for your paper and got bad grades. You are angry with the teacher and want to get back at him.
In your dream, your subconsciousness would make it look that way, that the paper was way too hard, and that it was in fact not your fault that you got bad grades, but the teacher’s fault for making the test too difficult.
Of course this wouldn’t happen 1:1 like this in reality, but this is a simplified version for easier explanation 
Of course, there are countless other theories, but I tend to “like” these two.
As for why we lucid dream, I personally think that we are born to be aware during dreams, just that over the years, we tend to lose this ability.
It really is such an amazing question 
I always get fascinated by Stephen Laberge’s articles and lectures, he pretty much proposes that dreams themselves are not so much messages from within, as a sort of side-effects of rem sleep!
You see, as long as the brain is active enough, it will do what it is meant to do: create a model of the world for us to understand. In the rem-state, it seems to be active enough to do just that.
Problem is, we no longer have input from our senses to build that model, since we are asleep! 
So what’s left is our expectations, desires and knowledge of the world around us the brain uses these to create a world without sensory input, i.e. dreams.
So what’s the reason for us to have rem-sleep then?
It seems to have an important function in the development of the brain: babies spend as much as up to 80% (!) of their sleep dreaming, while as you get older, it decreases to about 20%.
In adult life rem-sleep most likely serves the function of getting you up and running in the morning. Rem-sleep increases as the night continues, so by the time we get up, the brain has been active for a while. If that weren’t the case, you would wake up disoriented (like you sometimes are when waking up in the middle of the night).
What other purpose it could have is anybody’s guess, I reckon
I personally don’t think dreams are messages to ourselves, because that wouldn’t really make sense when looking at evolution: if dreams are primarily secret puzzles for us to unravel, they must have been for the earliest of dreamers as well, and for all animals that dream in this time. Is it sensible for your dog’s brain to spend energy on something it won’t even understand?
As for lucidity: I think humans are simply intelligent enough to sometimes recognize dreams for what they are, and should have fun in doing so! Your imagination is the limit 
A really good read on the subject is lucidity.com/LD8DFM.html
Laberge addresses all kinds of theories about dreaming, including Freud’s.
If it’s too much reading for now, I’d suggest watching these short lectures:
youtube.com/watch?v=PE81vAQW … re=related
youtube.com/watch?v=Aun76b-t … re=related
I kinda hate having one reference like this, but almost everything this guy and the Lucidity Institute publish just fascinates me 
Cropped a full quote of the previous post by mininiman, please quote sparingly. 
I agree with you! I had my eyes completely glued to my computer screen while reading LaBerge’s book about lucid dreaming! Same goes for Freud’s Dream interpretation of course
Edit: Sorry for the long quote, I didn’t think of that 