Aside from the obvious things, like the thrill of flying through air or space anywhere you want to go, or sex with anyone you want, is creativity. I could create things I would never begin to imagine in waking life, that would really help me and fulfill me as an artist. I've already experienced some amazing effortless artistic abilities in my dream, or amazing music that just came to me, and incredible worlds I never would have thought of in waking life. The main point is, you don't have to be stuck at home with no money to travel anywhere or do anything when you dream. You can do literally ANYTHING. You can unleash the true power of your mind. You can even defy physics.

Loial does bring up a good point, though, that it's best to take baby steps. I always get too excited and pressured when I realize I'm in a dream, and "through my bony fingers it does slip, like a snowflake in a fiery grip!"