When you are sleeping, your brain is very active (especially during the R.E.M phase) however the part of your brain which is responsible for processing logic, is very dormant and inactive, which is why you accept is as normal, and when you wake up, so does your logic and then it kicks in and says "Dayum"

However, with training and reality checks this improves and the use of dreamsigns can be an important tool here, If you keep seeing pink elephants in a lot of dreams, then that's a dreamsign, when you can get your brain and logical thinking to acknowledge there is a pink elephant and that's not normal... then BAM... Lucid.