Movies are more fun when you kind of believe that what you're seeing is real, right? Also this applies to video games. If you're just thinking about a bunch of polygons floating around the screen, that's not quite as compelling. I kind of feel the same way about dreams. My non-lucid dreams are usually much more fun because I believe that the crazy things are actually happening. For example, last night I dreamt I was on a roller coaster inside a sushi museum. I couldn't have come up with that intentionally in a lucid dream, and it was more exciting because I felt a little bit of danger. Don't get me wrong, lucid dreams are great, but they don't have that same excitement of belief in the dream world.