I'm pretty sure its a circadian rhythm thing, you know, the biological clock. Melatonin levels in the brain go up at night and promote deep sleep, but early in the morning (where most of my dreaming is done, personally) your melatonin levels are going down again, sleep is not as deep and dream recall promoted. During the day, your melatonin is at its lowest, and naps usually being brief, promoting dream recall even more.

In my *personal* opinion, we always dream when sleeping, in one form or another. I've had very intense vivid dreams in my first hour of sleep before but only remembered them because they woke me up (nightmare or something) I think its a consciousness and recall thing. You have to think of when recall is favored to find a good time to lucid.. early moring, day-time nap. (and i thinks it has to do with circadian rhythm)

If interested, google circadian rhythms or check this page on melatonin, it even mentions dreaming:

http://en.wikipedia.org/wiki/Melatonin#Light_dependence

Hope I answered your question