There is also the phenomenon of lucid dreaming. Lucid dreams, in brief, are dreams in which you come to the realization that you are dreaming. This often allows you to control not only your actions but the entire flow of the dream. I have these semi-regularly (perhaps once a month), and they are one of the most fascinating experiences I've had. Apparently it is possible to train oneself to have them, and some people are able to dream lucidly all the time (up to 3-4 times a night!)
I'm not sure what implication this has on the nature of dreams in general, but any theory of dreaming has to take into account the possibility of achieving conscious control. Of course, I can't rule out the fact that it might just be the
illusion of conscious control, but the feeling is subjectively the same as the conscious control I have over my waking actions (with the added bonus of having control over everyone else's actions, too!)
I believe there have been several threads on this forum about this phenomenon. If you're interested further,
here's a book on it. There's some woo about astral projection and the like in it, but there are also some well-founded ideas about how to induce lucidity, how to extend its duration, and what to do with it when you have it.