The short answer is because in lucid dreams anything is possible - in stark contrast to the real world. Here are some examples of what you can get up to when you are lucid dreaming, and a few notes on the benefits that can be gained from lucid dreaming.

Adventure and Fantasy

This is what first attracted me to lucid dreaming. The potential for wild adventure, fantasy, freedom, escapism, colour, and joy - lucid dreaming can add a whole new experiential dimension to your life. Many people like to fly in lucid dreams, they discover new worlds, or meet old 'dream friends' over a course of several dreams. Sexual exploration is an obvious favourite. It is not uncommon for people to describe their experiences when lucid dreaming as being amongst the most wonderful experiences of their lives. Lucid dreaming can be truly exhilarating, I believe, largely due to the sense of total freedom and lack of consequence one experiences. This is something that one cannot get from waking life.

Spirituality

Dreams and lucid dreams figure strongly in many religions and spiritual practices, and accounts of transcendental experiences whilst dreaming are legion. Many commentators have suggested that dreams convince us to look beyond everyday experience - the mundane - and seek deeper answers to our existence. Ecstatic experiences are very common with lucid dreams and if you are looking for a sense of union - something of the metaphysical - then you may find what you are looking for via lucid dreams. At the very least you are likely to encounter profound peace, and perhaps a refreshing sense of place and purpose.

Dealing with nightmares, assisting healing

Dr La Berge and other researchers have suggested that lucid dreams can be used as an effective therapy for countering nightmares, and it is not hard to see why. Once you become aware that you are dreaming, and you go fully lucid, then you realise that really there is nothing to fear from your dream experience: no consequence and no physical or mental harm. Experienced lucid dreamers know that fear is best countered in a dream by facing the source - when it usually melts away or transforms into something far more interesting. There are numerous accounts of monsters turning into enticing lovers when the dreamer confronts their fear and faces the monster. The lessons for our waking lives are obvious; only by facing fear can we dispel it. Research has also shown that calming dream imagery can enhance waking performance, and lead to physical and mental healing, and alleviate pain. Accordingly, you could try to use lucid dreams to overcome phobias, or deal with
a bereavement. Upon the death of my father, I met him several times when I was lucid dreaming and was able to say things that had gone unsaid - which helped me enormously with my grief. Whether I actually made some metaphysical link with him is something that I remain unsure about, but I certainly felt better for our dream meetings. Other potential applications of lucid dreaming include treatment of stroke and spinal cord injury patients to promote the recovery of neuromuscular function or counter sensory loss.

Practice, rehearsal and problem solving

That we generally believe our dreams to be true in the moment of experiencing them is due to the fact that they are extraordinarily vivid and convincing. Our minds produce mental imagery so realistic that we are fooled into thinking that dreams are real. But once you realise that they are not, you are by no means denied the opportunity of treating the dream as a rehearsal for real life. Actors have practiced their lines when lucid dreaming, speakers have rehearsed speeches - just about any artistic performance or other performance can have its first run through whilst lucid dreaming. You may be surprised to know that research has shown that brain activity during REM (dream sleep) is almost exactly the same as brain activity during waking life. This means that we have all our faculties during dream sleep and are able to make decisions and take action just as we would in normal life. Accordingly, we can exercise skills and make rational judgments - try things out - which can then assist us with preparation for waking life. Similarly, the potential for creativity and problem solving is well established. Dreams produce at times highly bizarre experiences - often due to the incongruity of events, but this juxtaposing of unusual items can lead to novel thought, a new ideas - the thinking 'outside of the box' so often lacking in real life. How many times have you read about someone having a fantastic new idea in a dream?

Here's a link to a long interview with Dr La Berge where he talks about how he first became interested in lucid dreaming, the benefits to be had from lucid dreaming and the lucid dreaming techniques he and others have developed.