Whenever I get a chance to have more in-depth and personal talks with people, I'm likely to introduce them to lucid dreaming as a possible hobby that they could (and should!) take up. Of course, not in an evangelistic manner. I doubt there is any other "sleeping hobby" (hobbies you do while asleep) apart from lucid dreaming, so as long as someone is unaware of this possibility, I usually introduce and then encourage the person to try it.
At the surface level, lucid dreaming is just outright fun. You change your dreamscape, having control and being able to actively influence the dream. You can do whatever you want that's impossible to do so in reality...
...or so I thought. At a slightly deeper level, you realise that there are things that you can't do, or can't do so well in a dream. I used to have a slight problem with flying — I couldn't lift off from ground level. All my flights had to be initiated by jumping off somewhere high enough. These problems make you realise that your imagination isn't quite as unlimited as you would like to think, and therein lies a chance to train it. A sort of mind exercise. To be "good at lucid dreaming" requires a fine balance of concentration but detachment. It's not a paradox since these two aren't in direct opposition with each other. They are, however, somewhat in opposition, which requires more effort to try not to let them compete against each other. Concentration is required to remain lucid and required for any form of influence. Detachment is required to ensure your body and mind doesn't hit a waking state and you end up waking up. I believe such an exercise would have its benefits similar to meditation, and other related mind-body activities.
At a deeper level than that, you would probably want to analyse the dreamscape, dream-physics, and possibly the dreams themselves. I'm not talking about the dubious Freudian-type analysis of symbology within dreams. I'm just referring to pure practical and obvious appearances and situations which happen. Anonymous friends is a phenomenon which I think is quite worth delving into. These types of analysis tells you more about yourself in various ways. It can tell you about your character, your attitude, the strengths of your mind, the weaknesses of your mind (which you could then work on to improve), and possibly other things which I haven't seriously thought about.
Lucid dreaming, if not followed up by post-review and the like, is not very meaningful, though it is still enjoyable. It's what I do nowadays, unfortunately. In order for analysis to happen, one needs to record down one's dreams, and for me, that takes a very long time. When I was getting into lucid dreaming, it wasn't uncommon for me to be writing 1000 words on a single night worth of dreams. My dream recall used to be that powerful and detailed, and so keeping a dream journal was tough indeed. However, if you do record them down religiously, you can then analyse them properly, and you will find something about yourself that you didn't know. I'm certain of that.