Our dreams are essentially our brain's way of processing information it has collected over the short term. We have dreams during a certain phase of sleep
called rapid eye
movement; we have about 4 rem cycles per night (if you have a normal 7-8 hour sleep period).
It is important that we dream, as this is partly what helps us awaken feeling rested and refreshed. People who sleep, but don't dream enough, will not feel like they are getting enough rest.