no one really knows for sure why we dream,
some tell me that it is to aid sleep, your brain just naturally entertaining itself,
heres an interesting link from this garfield lady at the discovery channel
Why the heck do I dream?
im sure there are physiological explanations, stuff to do with REM and such, of which i am interested of also, but you may need to be a little more detailed with your question to get at that
Actually, many doctors believe that have dreaming pretty much figured out. There was a lengthy article about it in SciAm some time ago. If I remember correctly, the consensus is that it is the brains method of processing and cementing memories and skills learned during the day.