They are a form of subconscious communication with yourself. They tap into emotions you haven't deal with, so if you actively address them you can help assuage unresolved issues.
A few years after my Dad died, I went through a repeating dream cycle that sequentially added to itself over 5 successive nights, finally ending in a screaming nightmarish conclusion. It was so disturbing, it motivated a trip back to the old house I'd spent ten years in to put my mind at ease. It was sort of the equivalent to Sisko's Saratoga flashbacks in "Emissary".